Publication: Bayesian estimation of generalized exponential distribution under noninformative priors
Loading...
Date
Advisor
Coadvisor
Graduate program
Undergraduate course
Journal Title
Journal ISSN
Volume Title
Publisher
Amer Inst Physics
Type
Work presented at event
Access right
Acesso aberto
Abstract
The generalized exponential distribution, proposed by Gupta and Kundu (1999), is a good alternative to standard lifetime distributions as exponential, Weibull or gamma. Several authors have considered the problem of Bayesian estimation of the parameters of generalized exponential distribution, assuming independent gamma priors and other informative priors. In this paper, we consider a Bayesian analysis of the generalized exponential distribution by assuming the conventional non-informative prior distributions, as Jeffreys and reference prior, to estimate the parameters. These priors are compared with independent gamma priors for both parameters. The comparison is carried out by examining the frequentist coverage probabilities of Bayesian credible intervals. We shown that maximal data information prior implies in an improper posterior distribution for the parameters of a generalized exponential distribution. It is also shown that the choice of a parameter of interest is very important for the reference prior. The different choices lead to different reference priors in this case. Numerical inference is illustrated for the parameters by considering data set of different sizes and using MCMC (Markov Chain Monte Carlo) methods.
Description
Keywords
Generalized exponential distribution, Jeffreys priors, MDIP, reference, Bayesian analysis, MCMC methods
Language
English
Citation
Xi Brazilian Meeting on Bayesian Statistics (ebeb 2012). Melville: Amer Inst Physics, v. 1490, p. 230-242, 2012.
