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 [t_{1}, t_{2}], 0 < t_{1} < t_{2} < ∞ 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 |
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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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