101. A Comparative Analysis of Shrinkage Bayesian Estimation Methods for Parameters of the Lognormal Distribution.
- Author
-
Habeeb, Nadiha Abed
- Subjects
MEAN square algorithms ,MAXIMUM likelihood statistics ,BAYESIAN analysis ,PARAMETER estimation ,GAMMA distributions ,LOGNORMAL distribution ,BAYES' estimation - Abstract
The Lognormal distribution serves as a fundamental model across various disciplines, offering a versatile framework for analyzing positively skewed data. Lognormal distributions are frequently employed to represent stock prices, as these prices cannot be negative and typically adhere to a multiplicative process. Additionally, this distribution is utilized to model the time until failure for various products. It is also applicable in the analysis of certain environmental variables, such as the concentrations of pollutants. In Bayesian estimation, the choice of prior distribution significantly influences parameter estimation, particularly in scenarios with limited sample sizes. Shrinkage Bayesian estimation methods have emerged as powerful tools to address the challenges of small sample sizes by incorporating prior information effectively. This research conducts a comparative analysis of shrinkage Bayesian estimation methods. Through comprehensive simulations, we investigate the impact of these priors on parameter estimation accuracy by limited sample sizes and initial parameter values. simulation experiments showed that Shrinkage Bayesian estimator method give the best estimators with minimum mean square error comparing with Maximum likelihood estimator. Other simulations can be performed for estimation methods (shrinkage, moments, modified moments). shrinkage Bayesian estimation methods can also be performed on (Weibull, Gamma distribution) distributions and the results compared. [ABSTRACT FROM AUTHOR]
- Published
- 2024