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Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions

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Sinha, Pankaj
Jayaraman, Prabha

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Abstract

In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both the distributions are not sensitive to moderate amount of misspecification in prior distributions belonging to the class of ML-II ε-contaminated.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16528.

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Date of creation: 29 Jul 2009
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Handle: RePEc:pra:mprapa:16528

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Related research
Keywords: Bayes reliability; ML-II ε-contaminated prior;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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  1. Martín, J. & Pérez, C.J., 2009. "Bayesian analysis of a generalized lognormal distribution," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1377-1387, February. [Downloadable!] (restricted)
  2. James Berger & Elías Moreno & Luis Pericchi & M. Bayarri & José Bernardo & Juan Cano & Julián Horra & Jacinto Martín & David Ríos-Insúa & Bruno Betrò & A. Dasgupta & Paul Gustafson & Larry Wass, 1994. "An overview of robust Bayesian analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 3(1), pages 5-124, June. [Downloadable!] (restricted)
  3. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December. [Downloadable!] (restricted)
  4. Saralees Nadarajah & Samuel Kotz, 2007. "Inverse Gaussian random variables with application to price indices," Applied Economics Letters, Taylor and Francis Journals, vol. 14(9), pages 673-677. [Downloadable!] (restricted)
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