Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Bayesian Analysis for the Difference of Exponential Means

  • Kang, Sang-Gil (Department of Applied Statistics, Sangji University) ;
  • Kim, Dal-Ho (Department of Statistics, Kyungpook National University) ;
  • Lee, Woo-Dong (Department of Asset Management, Daegu Hanny University)
  • Published : 2005.11.30
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Abstract

In this paper, we develop the noninformative priors for the exponential models when the parameter of interest is the difference of two means. We develop the first and second order matching priors. We reveal that the second order matching priors do 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 matching meet the frequentist target coverage probabilities much better than the frequentist intervals of Jeffreys' prior.

Keywords

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