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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

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

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  1. 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.
  2. 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.
  3. Whitmore, G. A., 1976. "Management applications of the inverse gaussian distribution," Omega, Elsevier, Elsevier, vol. 4(2), pages 215-223.
  4. 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.
  5. 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.
  6. 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.
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