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http://dx.doi.org/10.7465/jkdi.2013.24.6.1521

Noninformative priors for the scale parameter in the generalized Pareto distribution  

Kang, Sang Gil (Department of Computer and Data Information, Sangji University)
Publication Information
Journal of the Korean Data and Information Science Society / v.24, no.6, 2013 , pp. 1521-1529 More about this Journal
Abstract
In this paper, we develop noninformative priors for the generalized Pareto distribution when the scale parameter is of interest. We developed the rst order and the second order matching priors. We revealed that the second order matching prior does not exist. It turns out that the reference prior and Jeffrey's prior do not satisfy a first order matching criterion, and Jeffreys' prior, the reference prior and the matching prior are different. Some simulation study is performed and a real example is given.
Keywords
Generalized Pareto distribution; matching prior; reference prior; scale parameter;
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Times Cited By KSCI : 3  (Citation Analysis)
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