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

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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 languageEnglish
Number of pages9
JournalProceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability
Early online date23 Nov 2021
DOIs
Publication statusE-pub ahead of print - 23 Nov 2021
EventThe 30th European Safety and Reliability Conference and The 15th Probabilistic Safety Assessment and Management Conference - Online, Venice, Italy
Duration: 1 Nov 20205 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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