Bayesian reliability modeling with a new loss function and numerical simulation

Abstract

The aim the present study is to develop a Bayesian reliability model using a new loss function that has been introduced by Higgins and Tsokos. The underlyng failure model is the exponential and four priors are being used: the inverted gamma , the general uniform, the exponential and the lognormal. The concept of efficienncy along with the notion of integrated mean square are being used as a criterion to analytically and numerically compare our findings with respect to the natural conjugate prior. It is shown that the Bayesian reliability estimates are in general sensitive to the choice of the prior probability distribution.