A matching prior for the shape parameter of the exponential power distribution

Min Wang and Tao Lu

Statistics & Probability Letters, 2015, vol. 97, issue C, 150-154

Abstract: We derive a class of matching priors for the shape parameter of the exponential power distribution, which controls the thickness of the density tails. It is shown that a second-order matching prior does not exist in the subclass of the considered priors.

Keywords: Exponential power distribution; Reference prior; First-order; Second-order; Quantiles; Regression models (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.11.016

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