Rubio, Francisco Javier; Liseo, Brunero - In: Statistics & Probability Letters 85 (2014) C, pp. 91-97
We study the Jeffreys prior of the skewness parameter of a general class of scalar skew-symmetric models. We show that this prior is symmetric, proper, and with tails O(|λ|−3/2) under mild regularity conditions. We also calculate the independence Jeffreys prior for the case with unknown...