5 papers · 1 filter
An Objective Prior from a Scoring Rule
Stephen G. Walker, Cristiano Villa
In this paper we introduce a novel objective prior distribution levering on the connections between information, divergence and scoring rules. In particular, we do so from the star…
A Loss-Based Prior for Gaussian Graphical Models
Laurentiu Catalin Hinoveanu, Fabrizio Leisen, Cristiano Villa
Gaussian graphical models play an important role in various areas such as genetics, finance, statistical physics and others. They are a powerful modelling tool which allows one to…
On a Loss-based prior for the number of components in mixture models
Clara Grazian, Cristiano Villa, Brunero Liseo
We propose a prior distribution for the number of components of a finite mixture model. The novelty is that the prior distribution is obtained by considering the loss one would inc…
Loss-based approach to two-piece location-scale distributions with applications to dependent data
Fabrizio Leisen, Luca Rossini, Cristiano Villa
Two-piece location-scale models are used for modeling data presenting departures from symmetry. In this paper, we propose an objective Bayesian methodology for the tail parameter o…
Bayesian Estimation of the Threshold of a Generalised Pareto Distribution for Heavy-Tailed Observations
Cristiano Villa
In this paper, we discuss a method to define prior distributions for the threshold of a generalised Pareto distribution, in particular when its applications are directed to heavy-t…