Objective Bayesian analysis based on upper record values from two-parameter Rayleigh distribution with partial information

Jung In Seo and Yongku Kim

Journal of Applied Statistics, 2017, vol. 44, issue 12, 2222-2237

Abstract: In the life test, predicting higher failure times than the largest failure time of the observed is an important issue. Although the Rayleigh distribution is a suitable model for analyzing the lifetime of components that age rapidly over time because its failure rate function is an increasing linear function of time, the inference for a two-parameter Rayleigh distribution based on upper record values has not been addressed from the Bayesian perspective. This paper provides Bayesian analysis methods by proposing a noninformative prior distribution to analyze survival data, using a two-parameter Rayleigh distribution based on record values. In addition, we provide a pivotal quantity and an algorithm based on the pivotal quantity to predict the behavior of future survival records. We show that the proposed method is superior to the frequentist counterpart in terms of the mean-squared error and bias through Monte carlo simulations. For illustrative purposes, survival data on lung cancer patients are analyzed, and it is proved that the proposed model can be a good alternative when prior information is not given.

Date: 2017
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DOI: 10.1080/02664763.2016.1251886

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