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

Author

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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.

Suggested Citation

  • Sinha, Pankaj & Jayaraman, Prabha, 2009. "Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions," MPRA Paper 16528, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:16528
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    File URL: https://mpra.ub.uni-muenchen.de/16528/1/MPRA_paper_16528.pdf
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    References listed on IDEAS

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    1. 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 Wasserman &, 1994. "An overview of robust Bayesian analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 3(1), pages 5-124, June.
    2. Pankaj Sinha & Ashok Bansal, 2008. "Bayesian optimization analysis with ML-II ε-contaminated prior," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(2), pages 203-211.
    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.
    4. Whitmore, G. A., 1976. "Management applications of the inverse gaussian distribution," Omega, Elsevier, vol. 4(2), pages 215-223.
    5. 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.
    6. Saralees Nadarajah & Samuel Kotz, 2007. "Inverse Gaussian random variables with application to price indices," Applied Economics Letters, Taylor & Francis Journals, vol. 14(9), pages 673-677.
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    Citations

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    Cited by:

    1. Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2018. "Robust linear static panel data models using ε-contamination," Journal of Econometrics, Elsevier, vol. 202(1), pages 108-123.
    2. Baltagi, Badi H. & Bresson, Georges & Chaturvedi, Anoop & Lacroix, Guy, 2014. "Robust linear static panel data models using epsilon-contamination," MPRA Paper 59896, University Library of Munich, Germany.

    More about this item

    Keywords

    Bayes reliability; ML-II ε-contaminated prior;

    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

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