Fisher-Rao Geometry and Jeffreys Prior for Pareto Distribution

DOI10.1080/03610926.2020.1771593MaRDI QIDQ6322042arXivFDO

Authors Mingming Li, Huafei Sun, Linyu Peng

Publication date 12 July 2019

Published in arXiv

Full work available at URL https://doi.org/10.1080/03610926.2020.1771593

Mathematics Subject Classification ID

Statistics (62-XX)

arXiv classification

math.STstat.TH

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 Poincar'e 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.

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