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http://dx.doi.org/10.5351/KJAS.2013.26.5.713

Objective Bayesian Estimation of Two-Parameter Pareto Distribution  

Son, Young Sook (Department of Statistics, Chonnam National University)
Publication Information
The Korean Journal of Applied Statistics / v.26, no.5, 2013 , pp. 713-723 More about this Journal
Abstract
An objective Bayesian estimation procedure of the two-parameter Pareto distribution is presented under the reference prior and the noninformative prior. Bayesian estimators are obtained by Gibbs sampling. The steps to generate parameters in the Gibbs sampler are from the shape parameter of the gamma distribution and then the scale parameter by the adaptive rejection sampling algorism. A numerical study shows that the proposed objective Bayesian estimation outperforms other estimations in simulated bias and mean squared error.
Keywords
2-parameter Pareto distribution; L-moment estimation; maximum likelihood estimation; noninformative prior; reference prior; objective Bayesian estimation; Gibbs sampling; adaptive rejection sampling;
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