Power Laws Distributions in Objective Priors

DOI10.5705/SS.202020.0521MaRDI QIDQ6092955zbMATH OpenOpenAlexFDO

Authors Pedro L. Ramos, Francisco A. Rodrigues, Eduardo Ramos, Dipak K. Dey, Francisco Louzada

Publication date 23 November 2023

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.07674

zbMATH Keywords

Bayesian inferenceobjective priorpower-law

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: The use of objective prior in Bayesian applications has become a common practice to analyze data without subjective information. Formal rules usually obtain these priors distributions, and the data provide the dominant information in the posterior distribution. However, these priors are typically improper and may lead to improper posterior. Here, we show, for a general family of distributions, that the obtained objective priors for the parameters either follow a power-law distribution or has an asymptotic power-law behavior. As a result, we observed that the exponents of the model are between 0.5 and 1. Understand these behaviors allow us to easily verify if such priors lead to proper or improper posteriors directly from the exponent of the power-law. The general family considered in our study includes essential models such as Exponential, Gamma, Weibull, Nakagami-m, Haf-Normal, Rayleigh, Erlang, and Maxwell Boltzmann distributions, to list a few. In summary, we show that comprehending the mechanisms describing the shapes of the priors provides essential information that can be used in situations where additional complexity is presented.

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Cited in

(3)

• A Brief History of Generative Models for Power Law and Lognormal Distributions
• On the posterior property of the Rician distribution
• Posterior properties with censored responses using the gamma distribution

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