Is eliciting dependency worth the effort? A study for the multivariate Poisson-Gamma probability model

Rafael Schwarzenegger, John Quigley and Lesley Walls

Journal of Risk and Reliability, 2023, vol. 237, issue 5, 858-867

Abstract: We examine whether it is worthwhile eliciting subjective judgements to account for dependency in a multivariate Poisson-Gamma probability model. The challenge of estimating reliability during product design motivated the choice of model class. For the multivariate Poisson-Gamma model we adopt an empirical Bayes methodology to present an estimator with improved accuracy. A simulation study investigates the estimation error of this estimator for different degrees of dependency and examines the impact of dependency being mis-specified when assessed by subjective judgement. Our theoretical and simulation findings give analysts insights about the value of eliciting dependency.

Keywords: Multivariate Poisson-Gamma model; dependency; empirical Bayes inference; expert judgement; product design reliability (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:sae:risrel:v:237:y:2023:i:5:p:858-867

DOI: 10.1177/1748006X211059417

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