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Bayesian estimation and prediction based on lognormal record values

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  • Sukhdev Singh
  • Yogesh Mani Tripathi
  • Shuo-Jye Wu

Abstract

In this paper we consider the problems of estimation and prediction when observed data from a lognormal distribution are based on lower record values and lower record values with inter-record times. We compute maximum likelihood estimates and asymptotic confidence intervals for model parameters. We also obtain Bayes estimates and the highest posterior density (HPD) intervals using noninformative and informative priors under square error and LINEX loss functions. Furthermore, for the problem of Bayesian prediction under one-sample and two-sample framework, we obtain predictive estimates and the associated predictive equal-tail and HPD intervals. Finally for illustration purpose a real data set is analyzed and simulation study is conducted to compare the methods of estimation and prediction.

Suggested Citation

  • Sukhdev Singh & Yogesh Mani Tripathi & Shuo-Jye Wu, 2017. "Bayesian estimation and prediction based on lognormal record values," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(5), pages 916-940, April.
    • Handle: RePEc:taf:japsta:v:44:y:2017:i:5:p:916-940
    DOI: 10.1080/02664763.2016.1189520
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    References listed on IDEAS

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    1. Balakrishnan, N. & Chan, P. S., 1998. "On the normal record values and associated inference," Statistics & Probability Letters, Elsevier, vol. 39(1), pages 73-80, July.
    2. Jafar Ahmadi & M. Doostparast, 2006. "Bayesian estimation and prediction for some life distributions based on record values," Statistical Papers, Springer, vol. 47(3), pages 373-392, June.
    3. Dey, Sanku & Dey, Tanujit & Luckett, Daniel J., 2016. "Statistical inference for the generalized inverted exponential distribution based on upper record values," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 120(C), pages 64-78.
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    Cited by:

    1. Liang Wang & Huizhong Lin & Yuhlong Lio & Yogesh Mani Tripathi, 2022. "Interval Estimation of Generalized Inverted Exponential Distribution under Records Data: A Comparison Perspective," Mathematics, MDPI, vol. 10(7), pages 1-20, March.
    2. Ayush Tripathi & Umesh Singh & Sanjay Kumar Singh, 2021. "Inferences for the DUS-Exponential Distribution Based on Upper Record Values," Annals of Data Science, Springer, vol. 8(2), pages 387-403, June.

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