Objective Bayesian analysis for the Lomax distribution

Ferreira P.H.; Ramos E.; Ramos P.L.; Gonzales J.F.B.; Tomazella V.L.D.; Ehlers R.S.; Silva E.B.; Louzada F. · Statistics and Probability Letters (2020) · DOI: 10.1016/j.spl.2019.108677

Resumen

In this paper, we propose to make Bayesian inferences for the parameters of the Lomax distribution using non-informative priors, namely the (dependent and independent) Jeffreys prior and the reference prior. We assess Bayesian estimation through a Monte Carlo study with 10,000 simulated datasets. In order to evaluate the possible impact of prior specification on estimation, two criteria were considered: the mean relative error and the mean square error. An application on a real dataset illustrates the developed procedures.

Instituciones: Universidad Nacional de San Agustín de Arequipa