Analysis of Frechet Distribution Using Reference Priors

Kamran Abbas and Yincai Tang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 14, 2945-2956

Abstract: This article develops the Bayesian estimators in the context of reference priors for the two-parameter Frechet distribution. The general forms of the second-order matching priors are also derived in case of any parameter of interest and concluded that the reference prior is also a second order matching prior. Since the Bayesian estimators cannot be obtained in closed form, they are obtained using Monte Carlo simulation and Laplace approximation. The Bayesian and maximum likelihood estimates are compared via simulation study. Two real-life data sets are analyzed for illustration and comparison purpose.

Date: 2015
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DOI: 10.1080/03610926.2013.802351

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