Nonparametric Bayes and empirical Bayes estimators of mean residual life at age \(t\) (Q1193947): Difference between revisions

The mean residual life (MRL) at age \(t\geq 0\) is the expected remaining life of an item, given that the item is of age \(t\): \[ M(t)=\begin{cases} \mathbb{E}(X-t|\;X>t) \quad &\text{if } \overline{F}(t)>0\\ 0 &\text{if } \overline{F}(t)=0.\end{cases} \] This paper proposes estimators of \(M(t)\), using the nonparametric Bayes and empirical Bayes methods based on \textit{T. S. Ferguson's} [Ann. Stat. 1, 209-230 (1973; Zbl 0255.62037)] Dirichlet process prior under squared error loss. In Section 2 of the paper it is stated that the Bayes estimate of \(M(t)\), under a Dirichlet process prior with a parameter \(\alpha\), has the form \[ e_ B(t)=D(t)M_ 0(t)+(1-D(t))\widehat M(t), \quad\text{where}\quad D(t)=\alpha(t,+\infty)/[\alpha(t,+\infty)+n-k], \] \(n\) is the number of observations, \(k\) is the number of observations with values less than or equal to \(t\) and \(\widehat M(t)\) is the empirical MRL estimator discussed by \textit{G. L. Yang} [Ann. Stat. 6, 112-116 (1978; Zbl 0371.62055)] and \textit{W. J. Hall} and \textit{J. A. Wellner} [Tech. Rep., Dpt. Stat. Univ. Rochester (1979)]. A modified form holds when ties are present in the observations. Section 3 is devoted to some results about empirical Bayes estimators [in particular asymptotic optimality in the sense of \textit{H. Robbins}, Proc. 3rd Berkeley Sympos. Math. Stat. Probability 1, 157-163 (1956; Zbl 0074.353)]. A couple of illuminating remarks are also given in this Section. The proofs of results stated in Sections 2 and 3 are presented in Section 4.