Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Noninformative priors for the common location parameter in half-t distributions

  • 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 Asset Management, Daegu Haany University)
  • Received : 2010.10.04
  • Accepted : 2010.11.22
  • Published : 2010.11.30
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Abstract

In this paper, we want to develop objective priors for the common location parameter in two half-t distributions with unequal scale parameters. The half-t distribution is a non-regular class of distribution. One can not develop the reference prior by using the algorithm of Berger of Bernardo (1989). Specially, we derive the reference priors and prove the propriety of joint posterior distribution under the developed priors. Through the simulation study, we show that the proposed reference prior matches the target coverage probabilities in a frequentist sense.

Keywords

References

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