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Some posterior distributions for the normal mean. (English) Zbl 1237.62021

Let \(X\) and \(Y\) be independent random variables with probability density functions (pdfs) \[ f_X(x)=\frac1{\sqrt{2\pi}\sigma}exp\left\{-\frac{x^2}{2\sigma^2}\right\},\quad f_Y(y)=\frac1{\sqrt{\nu} B(\nu/2,1/2)} \left(1+\frac{y^2}{\nu}\right)^{-(1+\nu)/2}, \] respectively, where \(x,y\in\mathbb R\), \(\sigma>0\), \(\nu>0\). Explicit expressions for the pdf and cumulative distribution function (cdf) of \(|XY|\) (Section 2) and \(|X/Y|\) (Section 3) are given. Estimation of the associated credible intervals is considered in Section 4. Tabulations of percentage points and a computer programs in MAPLE for generating them are provided.

MSC:

62E15 Exact distribution theory in statistics
62-04 Software, source code, etc. for problems pertaining to statistics
65C60 Computational problems in statistics (MSC2010)

Software:

Maple
Full Text: DOI

References:

[1] Gradshteyn I. S., Table of Integrals, Series, and Products, 6. ed. (2009) · Zbl 0918.65002
[2] DOI: 10.1017/CBO9780511550683 · Zbl 1100.62059 · doi:10.1017/CBO9780511550683
[3] Prudnikov A. P., Integrals and Series 1 (1986) · Zbl 0606.33001
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