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Bayesian and Non-Bayesian Inference for the Generalized Pareto Distribution Based on Progressive Type II Censored Sample

Author

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  • Xuehua Hu

    (Department of Mathematics, Beijing Jiaotong University, Beijing 100044, China)

  • Wenhao Gui

    (Department of Mathematics, Beijing Jiaotong University, Beijing 100044, China)

Abstract

In this paper, first we consider the maximum likelihood estimators for two unknown parameters, reliability and hazard functions of the generalized Pareto distribution under progressively Type II censored sample. Next, we discuss the asymptotic confidence intervals for two unknown parameters, reliability and hazard functions by using the delta method. Then, based on the bootstrap algorithm, we obtain another two pairs of approximate confidence intervals. Furthermore, by applying the Markov Chain Monte Carlo techniques, we derive the Bayesian estimates of the two unknown parameters, reliability and hazard functions under various balanced loss functions and the corresponding confidence intervals. A simulation study was conducted to compare the performances of the proposed estimators. A real dataset analysis was carried out to illustrate the proposed methods.

Suggested Citation

  • Xuehua Hu & Wenhao Gui, 2018. "Bayesian and Non-Bayesian Inference for the Generalized Pareto Distribution Based on Progressive Type II Censored Sample," Mathematics, MDPI, vol. 6(12), pages 1-26, December.
    • Handle: RePEc:gam:jmathe:v:6:y:2018:i:12:p:319-:d:189779
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    References listed on IDEAS

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    1. Chansoo Kim & Jinhyouk Jung & Younshik Chung, 2011. "Bayesian estimation for the exponentiated Weibull model under Type II progressive censoring," Statistical Papers, Springer, vol. 52(1), pages 53-70, February.
    2. Mohammad Jafari Jozani & Éric Marchand & Ahmad Parsian, 2012. "Bayesian and Robust Bayesian analysis under a general class of balanced loss functions," Statistical Papers, Springer, vol. 53(1), pages 51-60, February.
    3. Raqab, Mohammad Z. & Asgharzadeh, A. & Valiollahi, R., 2010. "Prediction for Pareto distribution based on progressively Type-II censored samples," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1732-1743, July.
    4. Essam A. Ahmed, 2014. "Bayesian estimation based on progressive Type-II censoring from two-parameter bathtub-shaped lifetime model: an Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(4), pages 752-768, April.
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    Cited by:

    1. Mathias Silva & Michel Lubrano, 2023. "Bayesian correction for missing rich using a Pareto II tail with unknown threshold: Combining EU-SILC and WID data," AMSE Working Papers 2320, Aix-Marseille School of Economics, France.

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