A natural conjugate prior for the non-homogeneous Poisson process with a power law intensity function

Yeu Shiang Huang, Vicki M. Bier

Research output: Contribution to journalArticlepeer-review

31 Citations (Scopus)

Abstract

This paper develops a natural conjugate prior for the non-homogeneous Poisson process (NHPP) with a power law intensity function. This prior allows for dependence between the scale factor and the aging rate of the NHPP. The proposed prior has relatively simple closed-form expressions for its moments, facilitating the assessment of prior parameters. The use of this prior in Bayesian estimation is compared to other estimation approaches using Monte Carlo simulation. The results show that Bayesian estimation using the proposed prior generally performs at least as well as either maximum likelihood estimation or Bayesian estimation using independent priors.

Original languageEnglish
Pages (from-to)525-551
Number of pages27
JournalCommunications in Statistics Part B: Simulation and Computation
Volume27
Issue number2
DOIs
Publication statusPublished - 1998 Jan 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation

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