Bayesian estimation of mixed Weibull distributions

Anduin E. Touw

Reliability Engineering and System Safety, 2009, vol. 94, issue 2, 463-473

Abstract: Estimation of mixed Weibull distribution by maximum likelihood estimation and other methods is frequently difficult due to unstable estimates arising from limited data. Bayesian techniques can stabilize these estimates through the priors, but there is no closed-form conjugate family for the Weibull distribution. This paper reduces the number of numeric integrations required for using Bayesian estimation on mixed Weibull situations from five to two, thus making it a more feasible approach to the typical user. It also examines the robustness of the Bayesian estimates under a variety of different prior distributions. It is found that Bayesian estimation can improve accuracy over the MLE for situations with low mixture ratios so long as the prior on the weak subpopulation's characteristic life has an expected value less than or equal to the true characteristic life.

Keywords: Mixed Weibull distribution; Bayesian analysis; Maximum likelihood estimation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:94:y:2009:i:2:p:463-473

DOI: 10.1016/j.ress.2008.05.004

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