IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v82y2012i12p2125-2135.html
   My bibliography  Save this article

Objective Bayesian analysis for a truncated model

Author

Listed:
  • Wang, Haiying
  • Sun, Dongchu

Abstract

In this paper, the reference prior is developed for a truncated model with boundaries of support as two functions of an unknown parameter. It generalizes the result obtained in a recent paper by Berger et al. (2009), in which a rigorous definition of reference priors was proposed and the prior for a uniform distribution with parameter-dependent support was derived. The assumption on the order of the derivatives of these two boundary functions, required by Berger et al. (2009), is removed. In addition, we obtain the frequentist asymptotic distribution of Bayes estimators under the squared error loss function. Comparisons of the Bayesian approach with the frequentist approach are drawn in two examples in detail. Both theoretical and numerical results indicate that the Bayesian approach, especially under the reference prior, is preferable.

Suggested Citation

  • Wang, Haiying & Sun, Dongchu, 2012. "Objective Bayesian analysis for a truncated model," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2125-2135.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:12:p:2125-2135
    DOI: 10.1016/j.spl.2012.07.013
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715212002854
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2012.07.013?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. S. Ghosal, 1997. "Reference priors in multiparameter nonregular cases," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 6(1), pages 159-186, June.
    2. Keisuke Hirano & Jack R. Porter, 2003. "Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support," Econometrica, Econometric Society, vol. 71(5), pages 1307-1338, September.
    3. Peter Hall & Julian Z. Wang, 2005. "Bayesian likelihood methods for estimating the end point of a distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 717-729, November.
    4. Ghosal Subhashis & Samanta Tapas, 1997. "Expansion Of Bayes Risk For Entropy Loss And Reference Prior In Nonregular Cases," Statistics & Risk Modeling, De Gruyter, vol. 15(2), pages 129-140, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ferreira, Paulo H. & Ramos, Eduardo & Ramos, Pedro L. & Gonzales, Jhon F.B. & Tomazella, Vera L.D. & Ehlers, Ricardo S. & Silva, Eveliny B. & Louzada, Francisco, 2020. "Objective Bayesian analysis for the Lomax distribution," Statistics & Probability Letters, Elsevier, vol. 159(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Malay Ghosh & Victor Mergel & Ruitao Liu, 2011. "A general divergence criterion for prior selection," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(1), pages 43-58, February.
    2. Sareen, Samita, 2003. "Reference Bayesian inference in nonregular models," Journal of Econometrics, Elsevier, vol. 113(2), pages 265-288, April.
    3. Shemyakin, Arkady, 2012. "A new approach to construction of objective priors: Hellinger information," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 28(4), pages 124-137.
    4. Castillo, Joan del & Serra, Isabel, 2015. "Likelihood inference for generalized Pareto distribution," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 116-128.
    5. Vukina, Tomislav & Zheng, Xiaoyong & Marra, Michele & Levy, Armando, 2008. "Do farmers value the environment? Evidence from a conservation reserve program auction," International Journal of Industrial Organization, Elsevier, vol. 26(6), pages 1323-1332, November.
    6. Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, vol. 157(1), pages 120-128, July.
    7. Hickman Brent R. & Hubbard Timothy P. & Sağlam Yiğit, 2012. "Structural Econometric Methods in Auctions: A Guide to the Literature," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 67-106, August.
    8. Luo, Yao, 2020. "Unobserved heterogeneity in auctions under restricted stochastic dominance," Journal of Econometrics, Elsevier, vol. 216(2), pages 354-374.
    9. Xie, Haitian & Zhu, Ying & Shishkin, Denis, 2025. "On the limitations of data-based price discrimination," Theoretical Economics, Econometric Society, vol. 20(1), January.
    10. Emmanuel Guerre & Yao Luo, 2019. "Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework," Papers 1908.05476, arXiv.org, revised Dec 2024.
    11. Patrick Bayer & Shakeeb Khan & Christopher Timmins, 2008. "Nonparametric Identification and Estimation in a Generalized Roy Model," NBER Working Papers 13949, National Bureau of Economic Research, Inc.
    12. Xiaohong Chen & Timothy Christensen & Keith O’Hara & Elie Tamer, 2016. "MCMC Confidence sets for Identified Sets," Cowles Foundation Discussion Papers 2037R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2016.
    13. Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
    14. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.
    15. Ploberger, Werner & Phillips, Peter C.B., 2012. "Optimal estimation under nonstandard conditions," Journal of Econometrics, Elsevier, vol. 169(2), pages 258-265.
    16. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    17. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2018. "Monte Carlo Confidence Sets for Identified Sets," Econometrica, Econometric Society, vol. 86(6), pages 1965-2018, November.
    18. Casini, Alessandro & Perron, Pierre, 2022. "Generalized Laplace Inference In Multiple Change-Points Models," Econometric Theory, Cambridge University Press, vol. 38(1), pages 35-65, February.
    19. Kosuke Imai & Marc Ratkovic, 2015. "Robust Estimation of Inverse Probability Weights for Marginal Structural Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(511), pages 1013-1023, September.
    20. repec:tiu:tiutis:6b90fe6f-4de9-4192-9f4d-99ae9220af75 is not listed on IDEAS
    21. Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:12:p:2125-2135. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.