- Hacettepe Journal of Mathematics and Statistics
- Vol: 43 Issue: 4
- Bayesian estimation and prediction for the generalized Lindley distribution under asymmetric loss fu...
Bayesian estimation and prediction for the generalized Lindley distribution under asymmetric loss function
Authors : Sanjay Kumar Singh, Umesh Singh, Vikas Kumar Sharma
Pages : 661-678
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Publication Date : 2014-08-01
Article Type : Research
Abstract :The paper develops the Bayesian estimation procedure for the generalized Lindley distribution under squared error and general entropy loss functions in case of complete sample of observations. For obtaining the Bayes estimates, both non-informative and informative priors are used. Monte Carlo simulation is performed to compare the behaviour of the proposed estimators with the maximum likelihood estimators in terms of their estimated risks. Discussion is further extended to Bayesian prediction problem based on an informative sample where an attempt is made to derive the prediction intervals for future observations. Numerical illustrations are provided based on a real data example.Keywords : Generalized Lindley distribution, Loss functions, Bayes estimator, HPD intervals, Bayes prediction and MCMC methods