Martingale posterior distributions for cumulative hazard functions

Stephen G. Walker

Scandinavian Journal of Statistics, 2024, vol. 51, issue 3, 936-955

Abstract: This paper is about the modeling of cumulative hazard functions using martingale posterior distributions. The focus is on uncertainty quantification from a nonparametric perspective. The foundational Bayesian model in this case is the beta process and the classic estimator is the Nelson–Aalen. We use a sequence of estimators which form a martingale in order to obtain a random cumulative hazard function from the martingale posterior. The connection with the beta process is established and a number of illustrations is presented.

Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/sjos.12712

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:51:y:2024:i:3:p:936-955

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().