Objective Bayesian Analysis for the Differential Entropy of the Gamma Distribution
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The use of entropy related concepts goes from physics, such as in statistical mechanics, to evolutionary biology. The Shannon entropy is a measure used to quantify the amount of information in a system, and its estimation is usually made under the frequentist approach. In the present paper, we introduce an fully objective Bayesian analysis to obtain this measure's posterior distribution. Notably, we consider the Gamma distribution, which describes many natural phenomena in physics, engineering, and biology. We reparametrize the model in terms of entropy, and different objective priors are derived, such as Jeffreys prior, reference prior, and matching priors. Since the obtained priors are improper, we prove that the obtained posterior distributions are proper and their respective posterior means are finite. An intensive simulation study is conducted to select the prior that returns better results in terms of bias, mean square error, and coverage probabilities. The proposed approach is illustrated in two datasets, where the first one is related to the Achaemenid dynasty reign period, and the second data describes the time to failure of an electronic component in the sugarcane harvest machine.
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