Scaled Beta2 distribution
by John from John D. Cook on (#5EW9P)
I recently ran across a new probability distribution called the Scaled Beta2" or SBeta2" for short in [1].
For positive argument x and for positive parameters p, q, and b, its density is
This is a heavy-tailed distribution. For large x, the probability density is O(x-q-1), the same as a Student-t distribution with q degrees of freedom.
The authors in [1] point out several ways this distribution can be useful in application. It can approximate a number of commonly-used prior distributions while offering advantages in terms of robustness and analytical tractability.
Related posts- Robust prior illustration
- Probability distribution relationship diagram
- Conjugate prior relationship diagram
[1] The Scaled Beta2 Distribution as a Robust Prior for Scales. Maria-Eglee Perez, Luis Raul Pericchi, Isabel Cristina Ramirez. Available here.
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