Non-informative Bayesian estimation in dispersion models

The estimation of parameters for a distribution function is a significant and prominent field within statistical inference. This particular problem holds great relevance in various domains, including industries, stock markets, image processing, and reliability studies. There are two recognized approaches to estimation: point estimation and interval estimation, also known as confidence intervals. In this study, our primary focus lies in the point estimation of parameters associated with an exponential dispersion distribution function. In this process, we consider one of the parameters as a random variable that requires estimation. To tackle this, we adopt a Bayesian inference approach utilizing a one-parameter dispersion distribution. We explore non-informative priors, such as uniform and Jeffrey’s priors, and provide evidence of the effectiveness of our method through simulation studies.