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Bayesian estimation and prediction based on Rayleigh record data with applications

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Awwad R. R. A., Bdair O. M., Abufoudeh G. K.
Statistics in Transition new series
|
2021
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vol. 22
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issue 3
59-79
EN
Based on a record sample from the Rayleigh model, we consider the problem of estimating the scale and location parameters of the model and predicting the future unobserved record data. Maximum likelihood and Bayesian approaches under different loss functions are used to estimate the model's parameters. The Gibbs sampler and Metropolis-Hastings methods are used within the Bayesian procedures to draw the Markov Chain Monte Carlo (MCMC) samples, used in turn to compute the Bayes estimator and the point predictors of the future record data. Monte Carlo simulations are performed to study the behaviour and to compare methods obtained in this way. Two examples of real data have been analyzed to illustrate the procedures developed here.
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Statistical inference of exponential record data under Kullback-Leiber divergence measure

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Awwad R. R. A., Abufoudeh G. K., Bdair O. M.
Statistics in Transition new series
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2019
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vol. 20
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issue 2
1-14
EN
Based on one parameter exponential record data, we conduct statistical inferences (maximum likelihood estimator and Bayesian estimator) for the suggested model parameter. Our second aim is to predict the future (unobserved) records and to construct their corresponding prediction intervals based on observed set of records. In the estimation and prediction processes, we consider the square error loss and the Kullback-Leibler loss functions. Numerical simulations were conducted to evaluate the Bayesian point predictor for the future records. Finally, data analyses involving the times (in minutes) to breakdown of an insulating fluid between electrodes at voltage 34 kv have been performed to show the performance of the methods thus developed on estimation and prediction.
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