Objective Bayesian analysis for spatial Student-t regression models (2004.04341v1)

Abstract: The choice of the prior distribution is a key aspect of Bayesian analysis. For the spatial regression setting a subjective prior choice for the parameters may not be trivial, from this perspective, using the objective Bayesian analysis framework a reference is introduced for the spatial Student-t regression model with unknown degrees of freedom. The spatial Student-t regression model poses two main challenges when eliciting priors: one for the spatial dependence parameter and the other one for the degrees of freedom. It is well-known that the propriety of the posterior distribution over objective priors is not always guaranteed, whereas the use of proper prior distributions may dominate and bias the posterior analysis. In this paper, we show the conditions under which our proposed reference prior yield to a proper posterior distribution. Simulation studies are used in order to evaluate the performance of the reference prior to a commonly used vague proper prior.