On a New Class of Multivariate Prior Distributions: Theory and Application in Reliability
| Autor: | Miguel A. Sordo, Fabrizio Ruggeri, Alfonso Suárez-Llorens, Marta Sánchez-Sánchez |
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| Přispěvatelé: | Estadística e Investigación Operativa |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
robust Bayesian analysis Multivariate statistics Class (set theory) Posterior probability Context (language use) stochastic orders 01 natural sciences weighted distributions 010104 statistics & probability Robust Bayesian analysis 0502 economics and business Prior probability Applied mathematics multivariate total positivity 0101 mathematics Divergence (statistics) 050205 econometrics Mathematics Applied Mathematics 05 social sciences Bayesian sensitivity Metric (mathematics) 62F15 60E15 class of priors |
| Zdroj: | Bayesian Analysis (2021) 16, Number 1, pp. 31–60 RODIN: Repositorio de Objetos de Docencia e Investigación de la Universidad de Cádiz Universidad de Cádiz RODIN. Repositorio de Objetos de Docencia e Investigación de la Universidad de Cádiz instname Bayesian Anal. 16, no. 1 (2021), 31-60 |
| Popis: | In the context of robust Bayesian analysis for multiparameter distributions, we introduce a new class of priors based on stochastic orders, multivariate total positivity of order 2 ( $MTP_{2}$ ) and weighted distributions. We provide the new definition, its interpretation and the main properties and we also study the relationship with other classical classes of prior beliefs. We also consider the Hellinger metric and the Kullback-Leibler divergence to measure the uncertainty induced by such a class, as well as its effect on the posterior distribution. Finally, we conclude the paper with a real example about train door reliability. |
| Databáze: | OpenAIRE |
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