Fisher–Rao geometry and Jeffreys prior for Pareto distribution

Mingming Li, Huafei Sun and Linyu Peng

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 6, 1895-1910

Abstract: In this paper, we investigate the Fisher–Rao geometry of the two-parameter family of Pareto distribution. We prove that its geometrical structure is isometric to the Poincaré upper half-plane model, and then study the corresponding geometrical features by presenting explicit expressions for connection, curvature and geodesics. It is then applied to Bayesian inference by considering the Jeffreys prior determined by the volume form. In addition, the posterior distribution from the prior is computed, providing a systematic method to the Bayesian inference for Pareto distribution.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:6:p:1895-1910

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DOI: 10.1080/03610926.2020.1771593

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