We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter eta in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of eta.
Giuseppe De Luca, Jan R Magnus, Franco Peracchi (2021). Posterior moments and quantiles for the normal location model with Laplace prior. COMMUNICATIONS IN STATISTICS. THEORY AND METHODS, 50(17), 4039-4049 [10.1080/03610926.2019.1710756].
Posterior moments and quantiles for the normal location model with Laplace prior
Giuseppe De LucaPrimo
;
2021-08-13
Abstract
We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter eta in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of eta.
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