Asymptotics of a bayesian approach to estimating change-point in a hazard rate

Ghosh, Jayanta K. ; Joshi, Shrikant N. ; Mukhopadhyay, Ohiranjit (1996) Asymptotics of a bayesian approach to estimating change-point in a hazard rate Communications in Statistics - Theory and Methods, 25 (12). pp. 3147-3166. ISSN 0361-0926

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Related URL: http://dx.doi.org/10.1080/03610929608831890

Abstract

The hazard rate h(t) of a lifetime random variable is assumed to be a constant equal to a up to time r and another constant equal to b thereafter. The parameters T and (a, b) are assumed to be independent apriori with r having a uniform prior on [t1, t2], 0 < t1 < t2 < ∞ while the prior of (a, b) is assumed to be smooth, It is proved that the marginal posterior mode of r is n-consistent; the marginal posterior mass of T is concentrated around an n-1 neighborhood of the unknown parameter value; the posterior distribution of (a, b) can be approximated by a Normal distribution; a, b T are asymptotically independent aposieriori; and one can approximate the posterior mean and variance of (a, b) by easily computable quantities, The accuracies of these approximations are examined by a simulation study.

Item Type:Article
Source:Copyright of this article belongs to Taylor and Francis Ltd.
Keywords:Burn-in; Consistency; Infant Mortality; Large Sample; Posterior Normality; Posterior Independence
ID Code:22615
Deposited On:24 Nov 2010 08:09
Last Modified:02 Jun 2011 06:56

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