Fisher–Rao geometry and Jeffreys prior for Pareto distribution

Mingming Li, Huafei Sun, Linyu Peng

研究成果: Article査読

6 被引用数 (Scopus)

抄録

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 Poincaré 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.

本文言語English
ページ(範囲)1895-1910
ページ数16
ジャーナルCommunications in Statistics - Theory and Methods
51
6
DOI
出版ステータスPublished - 2022

ASJC Scopus subject areas

  • 統計学および確率

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