Is eliciting dependency worth the effort? A study for the multivariate Poisson-Gamma probability model

Rafael Schwarzenegger; John Quigley; Lesley Walls

doi:10.1177/1748006X211059417

Is eliciting dependency worth the effort? A study for the multivariate Poisson-Gamma probability model

Rafael Schwarzenegger, John Quigley, Lesley Walls

Management Science

Research output: Contribution to journal › Special issue › peer-review

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Abstract

We examine whether it is worthwhile eliciting subjective judgements to account for dependency in a multivariate Poisson-Gamma probability model. The challenge of estimating reliability during product design motivated the choice of model class. For the multivariate Poisson-Gamma model we adopt an empirical Bayes methodology to present an estimator with improved accuracy. A simulation study investigates the estimation error of this estimator for different degrees of dependency and examines the impact of dependency being mis-specified when assessed by subjective judgement. Our theoretical and simulation findings give analysts insights about the value of eliciting dependency.

Original language	English
Number of pages	9
Journal	Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability
Early online date	23 Nov 2021
DOIs	https://doi.org/10.1177/1748006X211059417
Publication status	E-pub ahead of print - 23 Nov 2021
Event	The 30th European Safety and Reliability Conference and The 15th Probabilistic Safety Assessment and Management Conference - Online, Venice, Italy Duration: 1 Nov 2020 → 5 Nov 2020 https://www.esrel2020-psam15.org/

Keywords

multivariate Poisson-Gamma model
dependency
empirical Bayes inference
expert judgement
product design reliability

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Schwarzenegger-etal-PIMEO-2021-Is-eliciting-dependency-worth-the-effort-a-studyFinal published version, 1.79 MBLicence: CC BY 4.0

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title = "Is eliciting dependency worth the effort? A study for the multivariate Poisson-Gamma probability model",

abstract = "We examine whether it is worthwhile eliciting subjective judgements to account for dependency in a multivariate Poisson-Gamma probability model. The challenge of estimating reliability during product design motivated the choice of model class. For the multivariate Poisson-Gamma model we adopt an empirical Bayes methodology to present an estimator with improved accuracy. A simulation study investigates the estimation error of this estimator for different degrees of dependency and examines the impact of dependency being mis-specified when assessed by subjective judgement. Our theoretical and simulation findings give analysts insights about the value of eliciting dependency.",

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T1 - Is eliciting dependency worth the effort? A study for the multivariate Poisson-Gamma probability model

AU - Schwarzenegger, Rafael

AU - Quigley, John

AU - Walls, Lesley

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PY - 2021/11/23

Y1 - 2021/11/23

N2 - We examine whether it is worthwhile eliciting subjective judgements to account for dependency in a multivariate Poisson-Gamma probability model. The challenge of estimating reliability during product design motivated the choice of model class. For the multivariate Poisson-Gamma model we adopt an empirical Bayes methodology to present an estimator with improved accuracy. A simulation study investigates the estimation error of this estimator for different degrees of dependency and examines the impact of dependency being mis-specified when assessed by subjective judgement. Our theoretical and simulation findings give analysts insights about the value of eliciting dependency.

AB - We examine whether it is worthwhile eliciting subjective judgements to account for dependency in a multivariate Poisson-Gamma probability model. The challenge of estimating reliability during product design motivated the choice of model class. For the multivariate Poisson-Gamma model we adopt an empirical Bayes methodology to present an estimator with improved accuracy. A simulation study investigates the estimation error of this estimator for different degrees of dependency and examines the impact of dependency being mis-specified when assessed by subjective judgement. Our theoretical and simulation findings give analysts insights about the value of eliciting dependency.

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KW - dependency

KW - empirical Bayes inference

KW - expert judgement

KW - product design reliability

U2 - 10.1177/1748006X211059417

DO - 10.1177/1748006X211059417

M3 - Special issue

JO - Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability

JF - Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability

SN - 1748-006X

T2 - The 30th European Safety and Reliability Conference and The 15th Probabilistic Safety Assessment and Management Conference

Y2 - 1 November 2020 through 5 November 2020

ER -

Is eliciting dependency worth the effort? A study for the multivariate Poisson-Gamma probability model

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Keywords

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