Journal of Korean Society of Industrial and Systems Engineering (산업경영시스템학회지)

Society of Korea Industrial and System Engineering (한국산업경영시스템학회)
권호 표지

Hazard Rate Estimation from Bayesian Approach

베이지안 확률 모형을 이용한 위험률 함수의 추론

  • Kim, Hyun-Mook (Department of Industrial Engineering, Hanyang University) ;
  • Ahn, Seon-Eung (Department of Industrial Engineering, Hanyang University)
  • 김현묵 (한양대학교 산업공학과) ;
  • 안선응 (한양대학교 산업공학과)
  • Published : 2005.09.30
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Abstract

This paper is intended to compare the hazard rate estimations from Bayesian approach and maximum likelihood estimate(MLE) method. Hazard rate frequently involves unknown parameters and it is common that those parameters are estimated from observed data by using MLE method. Such estimated parameters are appropriate as long as there are sufficient data. Due to various reasons, however, we frequently cannot obtain sufficient data so that the result of MLE method may be unreliable. In order to resolve such a problem we need to rely on the judgement about the unknown parameters. We do this by adopting the Bayesian approach. The first one is to use a predictive distribution and the second one is a method called Bayesian estimate. In addition, in the Bayesian approach, the prior distribution has a critical effect on the result of analysis, so we introduce the method using computerized-simulation to elicit an effective prior distribution. For the simplicity, we use exponential and gamma distributions as a likelihood distribution and its natural conjugate prior distribution, respectively. Finally, numerical examples are given to illustrate the potential benefits of the Bayesian approach.

Keywords

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