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
Pages (from-to)858-867
Number of pages10
JournalProceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability
Volume237
Issue number5
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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