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 shape parameter in the generalized Pareto distribution

  • 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 : 2012.10.26
  • Accepted : 2012.12.14
  • Published : 2013.01.31
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Abstract

In this paper, we develop noninformative priors for the generalized Pareto distribution when the parameter of interest is the shape parameter. We developed the first order and the second order matching priors.We revealed that the second order matching prior does not exist. It turns out that the reference prior satisfies a first order matching criterion, but Jeffrey's prior is not a first order matching prior. Some simulation study is performed and a real example is given.

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References

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