Bayesian Inference for the Power Law Process with the Power Prior

Abstract

Inference on current data could be more reliable if there exist similar data based on previous studies. Ibrahim and Chen (2000) utilize these data to characterize the power prior. The power prior is constructed by raising the likelihood function of the historical data to the power a0; where 0 · a0 · 1. The power prior is a useful informative prior in Bayesian inference.However, for model selection or model comparison problems, the propriety of the power prior is one of the critical issues. In this paper, we suggest two joint power priors for the power law process and show that they are proper under some conditions. We demonstrate our results with a real dataset and some simulated datasets.