Bayes pre-test estimation for the change point of the changing one parameter exponential family

Ashok Bansal () and Priyanka Aggarwa ()

METRON, 2012, vol. 70, issue 1, 57 pages

Abstract: This paper develops Bayes pre-test estimate (BPE) of the change point of a sequence of independent random variables under asymmetric linex loss function. BPE of the change point is obtained for changing regular one-parameter exponential family model. Its sensitivity is examined to the choice of the prior probability of the hypothesis of no change in a changing Poisson distributed coal mine disaster data. Loss robustness of the Bayes pre-test estimate for a class of linex loss functions is also discussed. Copyright Sapienza Università di Roma 2012

Keywords: Change point; Bayes pre-test estimate; Linex loss; Exponential family; Loss robustness (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/BF03263570 (text/html)
Access to full text is restricted to subscribers.

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:spr:metron:v:70:y:2012:i:1:p:41-57

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40300

DOI: 10.1007/BF03263570

Access Statistics for this article

METRON is currently edited by Marco Alfo'

More articles in METRON from Springer, Sapienza Università di Roma
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().