Noninformative Priors for the Coefficient of Variation in Two Inverse Gaussian Distributions

Title & Authors
Noninformative Priors for the Coefficient of Variation in Two Inverse Gaussian Distributions
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 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.
Keywords
Coefficient of variation;inverse Gaussian distribution;probability matching prior;reference prior;
Language
English
Cited by
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