Objective Bayesian analysis for a truncated model

Haiying Wang and Dongchu Sun

Statistics & Probability Letters, 2012, vol. 82, issue 12, 2125-2135

Abstract: In this paper, the reference prior is developed for a truncated model with boundaries of support as two functions of an unknown parameter. It generalizes the result obtained in a recent paper by Berger et al. (2009), in which a rigorous definition of reference priors was proposed and the prior for a uniform distribution with parameter-dependent support was derived. The assumption on the order of the derivatives of these two boundary functions, required by Berger et al. (2009), is removed. In addition, we obtain the frequentist asymptotic distribution of Bayes estimators under the squared error loss function. Comparisons of the Bayesian approach with the frequentist approach are drawn in two examples in detail. Both theoretical and numerical results indicate that the Bayesian approach, especially under the reference prior, is preferable.

Keywords: Asymptotic; Bayes estimator; Non-regular; Reference prior; Truncated model (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2012.07.013

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