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Abstract
A sequence of independent lifetimes 1 , . . . , ,,+1 . . . ,
was observed from Generalize compound Rayleigh
distribution with the survival distribution function 1 () at
timet but later, it was found that there was a change in the
system at some point of time m and it is reflected in the
sequence after ,by change in the survival distribution
function 2 () at time t. The Bayes estimation are derived for
the parameters of this model under different asymmetric loss
functions. This is done with respect to conjugate and discrete
priors on the parameters of this model.
Keywords
Compound Rayleigh Distribution; Bayes Estimators; Hazard
Function; Change Point; Survival Distribution; Squared Error
Loss Function; Asymmetric Loss Function
Introduction
Mostert, Roux and Bekker(1991) obtained the
compound Rayleigh model with a unimodalhazrd
function. Bekker ,A, Roux J. J. J, Mostert P. J.(2000)
study the generalized compound Rayleigh model from
a Bayesian point of view. Compound Rayleigh
Distribution is useful for modeling survival times of
patients showing characteristics of a random hazard
rate. We consider Generalization of the Compound
Rayleigh life time distribution, survival distribution
and hazard function of this distribution are given by,
(t, ,, c)=c 1 ( + )(+1) t>0,, , >0
() = 1 +
() =
1
+
>0
>0
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1 () =
1 1
+
1
>0
>0
(1)
2
>0
2 | , =
r 1
j 1 1, rj , > 0
rj 1
a 1
j 2 2, a j , > 0
a j 2
1 =
, 1 =
2 =
,2 =
, =
1 1 2
, =
, =
2 2 2
j=1,2,,w
rj 1 1 2 aj 1 2
rj aj 1
(5)
(2)
1 , 2 , c, , | , , T =
k j 1 rj +m1 1 (1+ ) 2 aj +nm1 2 (2+ ) /(T)
(6)
Where
Where k j =
2 () =
2 1
+
, >0
(, 2, 2, , |T) = U 1 1 1 2 2 2
1 1 =
=1 1 +
2 2 =
=+1
U ==1
Bayes Estimation
1 +
(3)
(4)
1
1 rj aj
1 =
=1 1 +
=1
1
+
2 = =+1 1 +
1 w
T = k j
(7)
=1 j=1
1 w
= =1
j=1 k j
m+rj
m+rj
(1 + )
nm+aj
nm+aj
(2 + )
(8)
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= , ) = ( , | k j
=1
This reduces to
for
1
k j
= =1
m+rj
(1+)
m+rj
nm+aj
(T),
nm+aj
(2+ )
j=1, 2,w
(9)
rj +m1 1 (1 + ) aj +nm1 2 (2 + ) 1
(T)
=1 k j 1
(1 | , , T) = (1 , 2 | , , T) d2
=1 0
rj +m1 1 (1 + )
= 1
=1 k j 1
nm+aj
nm+aj
(2 + )
1 (T)
(10)
(2 | , , T) = 1 (1 , 2 | , , T) d1
1
==1
k j
=1 0
aj +nm1 2 (2 + )
m+rj
m+rj
(1 + )
m+rj
(1 |T) =
(T)
r +m1 1 (1 + )
1 j
m+rj
(11)
(12)
1 w
=1
j=1
nm+aj aj +nm1 2 (2 + )
2
(2 + )
nm+aj
(13)
Where
1 ()
(14)
m+rj nm+aj
(1+)
m+rj
nm+aj
(2+ )
(15)
(16)
m ,v=0,1,2,
= k j
(17)
1 w
1
= =1
j=1 0
(1 |T). 1 d1
1 w
1
==1
j=1
m+rj
(18)
(1 + )
(19)
(20)
1 w
2
= =1
j=1
nm+aj
2+
1 w
cs = =1
j=1
1 w
s = =1
j=1
(21)
(t) and s2
(t) are
for s1
1 w
s1
(t) = =1
j=1 1
ln1+
(1 + )
(m+rj )
(22)
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1 w
s2
(t) = =1
j=1 1 +
ln[1+
(2 + )
(nm+aj )
(23)
h1s
(t) ==1
j=1
(m+rj )
( + ) (1 + )
1
(nm+aj )
1 w
h2s ==1
j=1 ( + ) ( + )
2
(24)
(25)
1 w
1
= 11 . [=1
1 () /(T] (26)
j=1
1
=
2
=
m+rj
(1 + )
1 w
ln[=1
j=1
1 w
ln =1
j=1
(1+ +1 )
m+rj
.]
(27)
(28)
(2 + )nm+a
(2 + +1 )nm+a
(t)of
c , , 1 (t) , 2 (t), 1 (t) and
s2L (t) , h1L (t) , h2L
2 (t)using Linex loss function respectively as,
We
get
the
cL =
L =
s1L
(t)=
1
1
cj 1
1 w
ln[=1
]
j=1
1
1 w
ln[=1
]
j=1
1+
(1 )
1
w
1
ln =1 j=1 =0
1 +
1
!
(1 + )
s2L
(t) =
ln 1
=1 j=1 =0
h1L
(t) =
h2L (t) =
(1
!
w
ln[1
=1 j=1
1
(29)
1 +
1+
w
ln[1
=1 j=1
(2 + )
( +
)(1 + )
( +
(30)
(m+rj )
(nm+aj )
(32)
m+rj
+ 1
)(2 + )
(31)
] (33)
nm+aj
+ 1
(34)
respectively
Another loss function, called General Entropy loss
function (GEL), proposed by Calabria and Pulcini
(1994) is given by,
3 (, d) = ( )3 3 (d / ) 1,
= [ (3 )]
and is finite.
=
13
13
3
1 [3 ]
= 1
1 ()(T)
, (35)
=1 =1
Where 1 () and
respectively.
1
==1
j=1
(1 + )3 m+rj 3
m+rj
(36)
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(2+ )3 nm+aj 3 3
1 w
=1
j=1
nm+a
cL ,L
(37)
, s1L
(t), s2L
(t),
1
1 w
3 +1 3
[=1
]
j=1 cj
3 ln1+
1 w
s1
(t) = =1
1
j=1
(1+ )
s2
(t)
3 ln[1+ ]
w
1
==1 j=1 1
(2+ )
1 w
h1
(t) ==1
j=1
h2 (t)
(39)
1
(m+rj ) 3
[m+rj ]( + )(1+)3
1
[nm+aj 3 ]
1 w
==1
j=1 [nm+a ]( + )( + )3
j
2
(40)
0.1985
0.6807
0.3017
0.6071
0.4518
8.2662
2
1.8
0.5
1/14
0.000294
1.2
1.15
1.15
2.22
0.3287
3
1.9
0.42
1/14
0.000323
1.4
1.18
1.6
2.56
0.4705
Posterior
mean of 2
1.0
Posterior
Posterior
Posterior Posterior
mean of mean of mean 1 () mean 2 ()
2.00
0.36
0.28
SEL
Prior Density
(43)
0.08
() () UNDER
posterior means of
h1 ()
posterior means of
h2 ()
0.47
0.91
1
, 1
of 1 , 2
, 2
of 2 , of , , of c
() , () of s () , () , () of h () , Using the
results given in section 4 for the data given in table 11
and for different values of shape parameter and
,the results are shown in Tables 6,7,8 ,9and 10
TABLE 6 THE BAYES ESTIMATES USING ASYMMETRIC LOSS FUNCTIONS
Prior Density
0.09
0.09
0.10
0.20
0.20
1.2
1.2
1.5
1.5
-1.0
-1.0
10
-2.0
10
-2.0
11
0.10
Gamma prior
0.2911
0.6784
4
2.0
0.36
1/14
1.70639 108
1.5
1.17
2.4
3.22
0.0262
0.51
Bayes estimates
Posterior means of ,
Informative
POSTERIOR PROBABILITIES.
1
1.7
0.6
1/14
0.000198
1.06
1.13
0.93
2.06
0.1746
(42)
TABLE 1
0.6192
0.2104
Posterior
Posterior
Posterior
Median of m Mean of m mean of 1
, () () UNDER SEL
Informative
Bayes estimates of
change point
(41)
Prior Density
Prior Density
Numerical Example
0.2153
0.3449
M, , UNDER SEL
Informative
(nm+aj ) 3
1
[m+rj 3 ]
(38)
3 +1
1 w
= [=1
]
j=1
Prior
Density
Gamma
prior
0.09
0.52
1.0
0.09
0.53
0.10
0.51
1.0
0.10
0.52
1.0
0.20
0.51
0.9
0.20
0.51
1.0
1.2
0.48
0.8
1.2
0.49
0.8
1.5
0.47
0.7
1.5
0.47
0.6
-1.0
0.54
1.3
-1.0
0.55
1.4
-2.0
0.56
1.5
-2.0
0.57
1.6
1.2
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Prior Density
Gamma prior
1
0.09
0.10
0.20
1.2
1.5
-1.0
-2.0
0.36
0.36
0.34
0.33
0.31
0.38
0.39
CL
2.0
2.0
2.0
2.0
2.0
2.0
2.0
3
0.09
0.10
0.20
1.2
1.5
-1.0
-2.0
0.38
0.37
0.36
0.35
0.33
0.40
0.42
CE
2.0
2.0
1.9
1.7
1.6
2.1
2.2
Prior Density
Gamma prior
1
0.09
0.10
0.20
1.2
1.5
-1.0
-2.0
1
()
0.28
0.28
0.26
0.25
0.23
0.31
0.33
2
()
0.08
0.07
0.06
0.05
0.03
0.10
0.12
3
0.09
0.10
0.20
1.2
1.5
-1.0
-2.0
1
()
0.30
0.29
0.28
0.28
0.27
0.31
0.32
2
()
0.08
0.08
0.08
0.08
0.08
0.08
0.08
Prior Density
Gamma prior
1
0.09
0.10
0.20
1.2
1.5
-1.0
-2.0
1
()
0.48
0.47
0.46
0.45
0.44
0.50
0.52
2
()
1.00
0.90
0.90
0.88
0.86
1.10
1.20
3
0.09
0.10
0.20
1.2
1.5
-1.0
-2.0
1
()
0.49
0.48
0.47
0.47
0.45
0.52
0.53
2
()
0.92
0.91
0.90
0.89
0.87
1.20
1.30
56
1
0.51
0.51
0.51
0.55
0.49
0.52
0.52
0.54
0.49
AND
2
1.9
1.1
1.2
1.0
1.0
1.0
0.8
1.3
1.4
m*
8
8
8
8
8
8
8
8
8
m*E
8
8
8
8
8
8
8
8
8
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Bayes estimate
Truncated
Exponential
Sequence
Point
in
Inverse
Weibull
Sequence.
REFERENCES
Roux,
J.J.J.
and
Mosteit,
P.J.
(2000)A
in
Statistics-
Theory
and
the
lifetime
parameters
using
the
of
Method,29:7,1419-1433.
frequentist
left
Change
A.,
in
Conclusions
Bekker,
point
28(11), 2623-2639.
% Frequency for
01-5
06-10
11-14
12
80
8
11
74
15
25
64
11
39
52
09
Posterior mean
Posterior median
mL*
mE*
in
change-point
problems.
57