Posterior moments and quantiles for the normal location model with Laplace prior

Abstract

We derive explicit expressions for arbitrary moments and quantiles of the posterior distribution of the location parameter η in the normal location model with Laplace prior, and use the results to approximate the posterior distribution of sums of independent copies of η.

Keywords:

• Normal location model
• Laplace priors
• reflected generalized gamma priors
• posterior moments and cumulants
• posterior quantiles
• Cornish–Fisher approximation

Additional information

Funding

Giuseppe De Luca and Franco Peracchi acknowledge financial support from MIUR PRIN 2015FMRE5X.