Reference priors via [formula omitted]-divergence for a certain non-regular model in the presence of a nuisance parameter

Abstract

This paper presents reference priors for non-regular model whose support depends on an unknown parameter. A multi-parameter family which includes both regular and non-regular structures is considered. The resulting priors are obtained by asymptotically maximizing the expected α-divergence between the prior and the corresponding posterior distribution. Some examples of reference priors for typical multi-parameter non-regular distributions such as the location-scale family of distributions and the truncated Weibull distribution are also given.