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Bayes pre-test estimation for the change point of the changing one parameter exponential family

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  • Ashok Bansal
  • Priyanka Aggarwa

Abstract

This paper develops Bayes pre-test estimate (BPE) of the change point of a sequence of independent random variables under asymmetric linex loss function. BPE of the change point is obtained for changing regular one-parameter exponential family model. Its sensitivity is examined to the choice of the prior probability of the hypothesis of no change in a changing Poisson distributed coal mine disaster data. Loss robustness of the Bayes pre-test estimate for a class of linex loss functions is also discussed. Copyright Sapienza Università di Roma 2012

Suggested Citation

  • Ashok Bansal & Priyanka Aggarwa, 2012. "Bayes pre-test estimation for the change point of the changing one parameter exponential family," METRON, Springer;Sapienza Università di Roma, vol. 70(1), pages 41-57, April.
    • Handle: RePEc:spr:metron:v:70:y:2012:i:1:p:41-57
    DOI: 10.1007/BF03263570
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    References listed on IDEAS

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    1. Judge, G.G. & Bock, M.E., 1983. "Biased estimation," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 10, pages 599-649, Elsevier.
    2. Dey Dipak K. & Lou Kuo-ren & Bose Sudip, 1998. "A Bayesian Approach To Loss Robustness," Statistics & Risk Modeling, De Gruyter, vol. 16(1), pages 65-88, January.
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