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Reference priors for nonregular Pareto distribution  

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 Haany University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.4, 2011 , pp. 819-826 More about this Journal
Abstract
In this paper, we develop the reference priors for the scale and shape parameters in the nonregular Pareto distribution. We derive the reference priors as noninformative priors and prove the propriety of joint posterior distribution under the general priors including reference priors in the order of inferential importance. Through the simulation study, we compare the reference priors with respect to coverage probabilities of parameter of interest in a frequentist sense.
Keywords
Nonregular case; Pareto distribution; reference prior; scale parameter; shape parameter;
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Times Cited By KSCI : 3  (Citation Analysis)
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