Consider again Example 2. 8, where we have a normal model with improper prior (g(boldsymbol{theta})) (=gleft(mu, sigma^{2}
Question:
Consider again Example 2.
8, where we have a normal model with improper prior \(g(\boldsymbol{\theta})\) \(=g\left(\mu, \sigma^{2}\right) \propto 1 / \sigma^{2}\). Show that the prior predictive pdf is an improper density \(g(x) \propto 1\), but that the posterior predictive density is
\[ g(x \mid \tau) \propto\left(1+\frac{\left(x-\bar{x}_{n}\right)^{2}}{(n+1) S_{n}^{2}}\right)^{-n / 2} \]
Deduce that \(\frac{X-\bar{x}_{n}}{S_{n} \sqrt{(n+1) /(n-1)}} \sim t_{n-1}\).
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Related Book For
Data Science And Machine Learning Mathematical And Statistical Methods
ISBN: 9781118710852
1st Edition
Authors: Dirk P. Kroese, Thomas Taimre, Radislav Vaisman, Zdravko Botev
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