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

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.

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Year of publication:	2015
Authors:	Wang, Min ; Lu, Tao
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 150-154
Publisher:	Elsevier
Subject:	Exponential power distribution \| Reference prior \| First-order \| Second-order \| Quantiles \| Regression models

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189331