Bayesian estimation and prediction based on lognormal record values. Issue 5 (4th April 2017)

• Record Type: Journal Article
• Authors: Singh, Sukhdev; Mani Tripathi, Yogesh; Wu, Shuo-Jye
• Is Part Of: Journal of applied statistics. Volume 44:Issue 5(2017)
• Page Start: 916
• Page End: 940
• Publication Date: 2017-04-04
• Subjects: Asymptotic confidence interval -- Bayesian estimation -- equal-tail interval -- highest posterior density interval -- inter-record times -- prediction; Statistics -- Periodicals; 519.5
• DOI: 10.1080/02664763.2016.1189520
• Languages: English
• ISSNs: 0266-4763

Abstract

ABSTRACT: In this paper we consider the problems of estimation and prediction when observed data from a lognormal distribution are based on lower record values and lower record values with inter-record times. We compute maximum likelihood estimates and asymptotic confidence intervals for model parameters. We also obtain Bayes estimates and the highest posterior density (HPD) intervals using noninformative and informative priors under square error and LINEX loss functions. Furthermore, for the problem of Bayesian prediction under one-sample and two-sample framework, we obtain predictive estimates and the associated predictive equal-tail and HPD intervals. Finally for illustration purpose a real data set is analyzed and simulation study is conducted to compare the methods of estimation and prediction.