This paper shows how uncertainty about the type of return distribution (distribution uncertainty) can be incorporated in asset allocation decisions by using a novel, Bayesian semiparametric approach. To evaluate the economic importance of distribution uncertainty, the extent of changes in...

Scale mixtures of uniform distributions are used to model non-normal data in both univariate and multivariate settings. In addition to providing greater modelling flexibility, the use of scale mixtures of uniforms also results in straightforward computational strategies, particularly in a...

A new simulation method, Auxiliary Random Functions, is introduced. When used within a Gibbs sampler, this method enables a unified treatment of exact, right-censored, left-censored, left-trucated and interval censored data, with and without covariates, in survival models. The models and methods...

We discuss the relevance of consistency to the Bayesian. Should consistency be dismissed as irrelevant or thought about seriously when constructing prior distributions? Strong opinions have been held on this matter, but it is probably fair to say it is a largely neglected area. Pioneers, such as...