a. Let X1,... ,Xn be iid observations from an exponential (λ) pdf, where λ has the conjugate IG(a, b) prior, an inverted gamma with pdf

Show how to find a 1 - α Bayes HPD credible set for λ.
b. Find a 1 - α Bayes HPD credible set for σ2, the variance of a normal distribution, based on the sample variance s2 and using a conjugate IG(a, b) prior for σ2.
c. Starting with the interval from part (b), find the limiting 1- α Bayes HPD credible set for σ2 obtained as a †’ 0 and b †’ ˆž.

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1 (1+-1/A) 0