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Markov Beta and Gamma Processes for Modelling Hazard Rates
Author(s) -
NIETOBARAJAS LUIS E.,
WALKER STEPHEN G.
Publication year - 2002
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00298
Subject(s) - mathematics , gamma process , piecewise , smoothness , bayesian probability , markov process , statistics , counting process , hazard , beta distribution , econometrics , markov chain , mathematical analysis , chemistry , organic chemistry
This paper generalizes the discrete time independent increment beta process of Hjort (1990), for modelling discrete failure times, and also generalizes the independent gamma process for modelling piecewise constant hazard rates (Walker and Mallick, 1997). The generalizations are from independent increment to Markov increment prior processes allowing the modelling of smoothness. We derive posterior distributions and undertake a full Bayesian analysis.