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Analysis of Frechet Distribution Using Reference Priors

Author

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  • Kamran Abbas
  • Yincai Tang

Abstract

This article develops the Bayesian estimators in the context of reference priors for the two-parameter Frechet distribution. The general forms of the second-order matching priors are also derived in case of any parameter of interest and concluded that the reference prior is also a second order matching prior. Since the Bayesian estimators cannot be obtained in closed form, they are obtained using Monte Carlo simulation and Laplace approximation. The Bayesian and maximum likelihood estimates are compared via simulation study. Two real-life data sets are analyzed for illustration and comparison purpose.

Suggested Citation

  • Kamran Abbas & Yincai Tang, 2015. "Analysis of Frechet Distribution Using Reference Priors," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(14), pages 2945-2956, July.
    • Handle: RePEc:taf:lstaxx:v:44:y:2015:i:14:p:2945-2956
    DOI: 10.1080/03610926.2013.802351
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