Communications for Statistical Applications and Methods

  • 제15권3호
  • /
  • Pages.429-440
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  • 2008
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Noninformative Priors for the Coefficient of Variation in Two Inverse Gaussian Distributions

  • Kang, Sang-Gil (Department of Computer and Data Information, Sangji University) ;
  • Kim, Dal-Ho (Department of Statistics, Kyungpook National University) ;
  • Lee, Woo-Dong (Department of Asset Management, Daegu Hanny University)
  • 발행 : 2008.05.30
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초록

In this paper, we develop the noninformative priors when the parameter of interest is the common coefficient of variation in two inverse Gaussian distributions. We want to develop the first and second order probability matching priors. But we prove that the second order probability matching prior does not exist. It turns out that the one-at-a-time and two group reference priors satisfy the first order matching criterion but Jeffreys' prior does not. The Bayesian credible intervals based on the one-at-a-time reference prior meet the frequentist target coverage probabilities much better than that of Jeffreys' prior. Some simulations are given.

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참고문헌

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