Analyses of Prior Selections for Gumbel Distribution

Authors

  • Mohammad Rostami
  • Mohd Bakri Adam

DOI:

https://doi.org/10.11113/matematika.v29.n.582

Abstract

In this paper, we acquaint some selections of priors for Gumbels's parameters model. Simulation studies of Gumbel Distribution for eighteen pairs of priors based on the parameters characteristics and existing literatures were carried out. The usage of Markov Chain Monte Carlo via Metropolis-Hasting algorithm is implemented. Our findings show that the combination of Gumbel and Rayleigh are the most compromise pair of priors for Gumbel model. We successfully employed the recommendation of the best pair priors to model the Malaysia Gold prices from 2001 to 2011. Keywords: Gumbel model; Bayesian approach; simulation; MCMC; Malaysia gold prices 2010 Mathematics Subject Classification: 62G32, 62F15, 60J10, 97M30,

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Published

01-06-2013

Issue

Volume 29 (June 2013)

Section

Analysis and Algebra

License

Copyright of articles that appear in MATEMATIKA: MJIAM belongs exclusively to Penerbit UTM Press, Universiti Teknologi Malaysia. This copyright covers the rights to reproduce the article, including reprints, electronic reproductions or any other reproductions of similar nature.

How to Cite

Analyses of Prior Selections for Gumbel Distribution. (2013). MATEMATIKA, 29, 95-107. https://doi.org/10.11113/matematika.v29.n.582