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[학술저널]

  • 학술저널

Sang Gil Kang(Sangji University)

DOI : 10.7465/jkdi.2021.32.1.257

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In this paper, we develop the noninformative priors for P(Y < X) when X and Y have independent Lévy distributions. We develop the matching priors and the reference priors as the noninformative priors. The developed matching prior is a prior distribution that matches the alternatives coverage probabilities, and a prior distribution that satisfies the criterion of a highest posterior density. In addition, we derived the reference prior, and it was shown that this reference prior becomes the second order matching prior, and is equal to Jeffreys’ prior. Through simulations, we showed that the matching prior performs very reasonably in terms of coverage probability. Furthermore, the matching prior showed that even when the sample size was small, it was well matched with the target coverage probability. An example is given at the end.

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Abstract
1. Introduction
2. The noninformative prior
3. Implementation of the Bayesian inference
4. Numerical studies
5. Concluding remarks
References

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