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Noninformative Priors for the Difference of Two Quantiles in Exponential Models

  • 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 Assent Management, Daegu Haany University)
  • Published : 2007.08.31

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.

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