A natural conjugate prior for the nonhomogeneous poisson process with an exponential intensity function

Yeu Shiang Huang, Vicki M. Bier

研究成果: Article同行評審

7 引文 斯高帕斯(Scopus)

摘要

This article presents a natural conjugate prior for the nonhomogeneous Poisson process (NHPP) with an exponential intensity function, for modeling the failure rate of repairable systems. The behavior of the conjugate prior distribution with respect to its parameters is studied, and the use of this prior in Bayesian estimation is compared to two other estimation approaches (the use of independent prior distributions, and the bivariate normal distribution). The use of the conjugate prior proposed here facilitates Bayesian statistical analysis of aging. In particular, the proposed prior allows us to explicitly account for dependence between the initial failure rate and the aging rate. This is a significant improvement over the assumptions made in most prior work (either the assumption that the aging rate is known, or the assumption that the initial failure rate and the aging rate are independent). Monte Carlo simulation shows that Bayesian estimation using the proposed prior generally performs at least as well as Bayesian estimation using independent priors for the initial failure rate and the aging rate, except in the case where the prior distribution underestimates both the initial failure rate and the aging rate.

原文English
頁(從 - 到)1479-1509
頁數31
期刊Communications in Statistics - Theory and Methods
28
發行號6
DOIs
出版狀態Published - 1999

All Science Journal Classification (ASJC) codes

  • 統計與概率

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