BAYESIAN ESTIMATION OF SHIFT POINT IN SHAPE PARAMETER OF INVERSE GAUSSIAN DISTRIBUTION UNDER DIFFERENT LOSS FUNCTIONS

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FALLAH NEZHAD MOHAMMAD SABER; RASTI BATUL

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Journal Paper

Paper Information

Journal: JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING) Year:2015 | Volume:8 | Issue:18 Page(s): 1-12

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Information Journal Paper

Title

BAYESIAN ESTIMATION OF SHIFT POINT IN SHAPE PARAMETER OF INVERSE GAUSSIAN DISTRIBUTION UNDER DIFFERENT LOSS FUNCTIONS

Author(s)

FALLAH NEZHAD MOHAMMAD SABER | RASTI BATUL | Issue Writer Certificate

Keywords

BAYES ESTIMATORS

SHIFT POINT

INVERSE GAUSSIAN DISTRIBUTION

LOSS FUNCTION

Abstract

In this paper, a Bayesian approach is proposed for SHIFT POINT detection in an INVERSE GAUSSIAN DISTRIBUTION. In this study, the mean parameter of INVERSE GAUSSIAN DISTRIBUTION is assumed to be constant and SHIFT POINTs in shape parameter is considered. First the posterior distribution of shape parameter is obtained. Then the BAYES ESTIMATORS are derived under a class of priors and using various LOSS FUNCTIONs. We assumed uniform, Jeffreys, exponential, gamma and chi square distributions as prior distributions. The squared error LOSS FUNCTION (SELF), entropy LOSS FUNCTION (ELF), linex LOSS FUNCTION (LLF) and precautionary LOSS FUNCTION (PLF), are used as LOSS FUNCTIONs. We attempt to find out the best estimator for SHIFT POINT under various priors and LOSS FUNCTIONs. The proposed Bayesian approach can be adapted to any similar problem for SHIFT POINT detection. Simulation studies were done to investigate the performance of different LOSS FUNCTIONs. The results of simulation study denote that the Jeffrey prior distribution under PLF has the most accurate estimation of SHIFT POINT for sample size of 20, and the gamma prior distribution under SELF has the most accurate estimation of SHIFT POINT for sample size of 50.

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APA: Copy

FALLAH NEZHAD, MOHAMMAD SABER, & RASTI, BATUL. (2015). BAYESIAN ESTIMATION OF SHIFT POINT IN SHAPE PARAMETER OF INVERSE GAUSSIAN DISTRIBUTION UNDER DIFFERENT LOSS FUNCTIONS. JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING), 8(18), 1-12. SID. https://sid.ir/paper/668515/en

Vancouver: Copy

FALLAH NEZHAD MOHAMMAD SABER, RASTI BATUL. BAYESIAN ESTIMATION OF SHIFT POINT IN SHAPE PARAMETER OF INVERSE GAUSSIAN DISTRIBUTION UNDER DIFFERENT LOSS FUNCTIONS. JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING)[Internet]. 2015;8(18):1-12. Available from: https://sid.ir/paper/668515/en

IEEE: Copy

MOHAMMAD SABER FALLAH NEZHAD, and BATUL RASTI, “BAYESIAN ESTIMATION OF SHIFT POINT IN SHAPE PARAMETER OF INVERSE GAUSSIAN DISTRIBUTION UNDER DIFFERENT LOSS FUNCTIONS,” JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING), vol. 8, no. 18, pp. 1–12, 2015, [Online]. Available: https://sid.ir/paper/668515/en

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