베이지안 확률 모형을 이용한 위험률 함수의 추론

• 영문명: Hazard Rate Estimation from Bayesian Approach
• 발행기관: 한국산업경영시스템학회
• 저자명: 김현묵(Hyunmook Kim) 안선응(Suneung Ahn)
• 간행물 정보: 『산업경영시스템학회지』제28권 제3호, 26~35쪽, 전체 10쪽
• 주제분류: 공학 > 산업공학
• 파일형태: PDF
• 발행일자: 2005.09.01

영문 초록

This paper is intended to compare the hazard rate estimations from Bayesian approach and maximum likelihood estimate(MLE) method. Hazard rate frequently involves unknown parameters and it is common that those parameters are estimated from observed data by using MLE method. Such estimated parameters are appropriate as long as there are sufficient data. Due to various reasons, however, we frequently cannot obtain sufficient data so that the result of MLE method may be unreliable. In order to resolve such a problem we need to rely on the judgement about the unknown parameters. We do this by adopting the Bayesian approach. The first one is to use a predictive distribution and the second one is a method called Bayesian estimate. In addition, in the Bayesian approach, the prior distribution has a critical effect on the result of analysis, so we introduce the method using computerized-simulation to elicit an effective prior distribution. For the simplicity, we use exponential and gamma distributions as a likelihood distribution and its natural conjugate prior distribution, respectively. Finally, numerical examples are given to illustrate the potential benefits of the Bayesian approach.

목차

Abstract

1. 서론

2. 사전분포 추론 방법

3. 베이지안 확률 모형을 이용한 위험률함수의 추론

4. 베이지안 확률 모형과 최대우도추정량 방법의 비교

5. 실험예제

6. 결론

참고문헌