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An Alternative Conjugate Prior Distribution for Positive Parameters

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  • Marcelo Bourguignon

    (Universidade Federal do Rio Grande do Norte)

Abstract

In this paper, we propose a new conjugate prior probability distribution to many likelihoods distributions. In particular, we use the weighted Lindley distribution as a conjugate prior distribution. The weighted Lindley distribution can be viewed as a mixture of two gamma distributions with know weights. The weighted Lindley distribution of conjugate priors offers a more flexible class of priors than the class of gamma prior distributions. The results are illustrated for the problem of inference for Poisson and normal parameters.

Suggested Citation

  • Marcelo Bourguignon, 2019. "An Alternative Conjugate Prior Distribution for Positive Parameters," Annals of Data Science, Springer, vol. 6(2), pages 237-243, June.
    • Handle: RePEc:spr:aodasc:v:6:y:2019:i:2:d:10.1007_s40745-018-0174-z
    DOI: 10.1007/s40745-018-0174-z
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    References listed on IDEAS

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    1. Ghitany, M.E. & Alqallaf, F. & Al-Mutairi, D.K. & Husain, H.A., 2011. "A two-parameter weighted Lindley distribution and its applications to survival data," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(6), pages 1190-1201.
    2. D. K. Al-Mutairi & M. E. Ghitany & Debasis Kundu, 2015. "Inferences on Stress-Strength Reliability from Weighted Lindley Distributions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(19), pages 4096-4113, October.
    3. Al-Saleh, Jamal A. & Agarwal, Satish K., 2007. "Finite mixture of gamma distributions: A conjugate prior," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4369-4378, May.
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