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.
|頁（從 - 到）||525-551|
|期刊||Communications in Statistics Part B: Simulation and Computation|
|出版狀態||Published - 1998 1月 1|
All Science Journal Classification (ASJC) codes