Noninformative Priors for the Difference of Two Quantiles in Exponential Models

- Journal title : Communications for Statistical Applications and Methods
- Volume 14, Issue 2, 2007, pp.431-442
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CKSS.2007.14.2.431

Title & Authors

Noninformative Priors for the Difference of Two Quantiles in Exponential Models

Kang, Sang-Gil; Kim, Dal-Ho; Lee, Woo-Dong;

Kang, Sang-Gil; Kim, Dal-Ho; Lee, Woo-Dong;

Abstract

In this paper, we develop the noninformative priors when the parameter of interest is the difference between quantiles of two exponential 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 Jeffreys' prior does not satisfy the first order matching criterion. The Bayesian credible intervals based on the first order probability matching prior meet the frequentist target coverage probabilities much better than the frequentist intervals of Jeffreys' prior. Some simulation and real example will be given.

Keywords

Difference of two quantiles;exponential models;probability matching prior;

Language

English

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