Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions
AbstractIn 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 16528.
Date of creation: 29 Jul 2009
Date of revision:
Bayes reliability; ML-II ε-contaminated prior;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- 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 and Methodology: General - - - Bayesian Analysis: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Martín, J. & Pérez, C.J., 2009. "Bayesian analysis of a generalized lognormal distribution," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(4), pages 1377-1387, February.
- 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.
- Whitmore, G. A., 1976. "Management applications of the inverse gaussian distribution," Omega, Elsevier, Elsevier, vol. 4(2), pages 215-223.
- Saralees Nadarajah & Samuel Kotz, 2007. "Inverse Gaussian random variables with application to price indices," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(9), pages 673-677.
- 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, Springer, vol. 3(1), pages 5-124, June.
- Pankaj Sinha & Ashok Bansal, 2008. "Bayesian optimization analysis with ML-II ε-contaminated prior," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(2), pages 203-211.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.