Markov Beta and Gamma Processes for Modelling Hazard Rates

Luis E. Nieto‐barajas and Stephen G. Walker

Scandinavian Journal of Statistics, 2002, vol. 29, issue 3, 413-424

Abstract: 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.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:29:y:2002:i:3:p:413-424

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