A Bayes method for a monotone hazard rate via S-paths

DOI10.1214/009053606000000047MaRDI QIDQ2497183zbMATH OpenOpenAlexFDO

Authors Man-Wai Ho

Publication date 3 August 2006

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0502432

zbMATH Keywords

Completely random measureGibbs samplerMarkov chain Monte Carloproportional hazard modelrandom partitionRao-Blackwellizationweighted gamma process

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Estimation in survival analysis and censored data (62N02)

Abstract: A class of random hazard rates, which is defined as a mixture of an indicator kernel convolved with a completely random measure, is of interest. We provide an explicit characterization of the posterior distribution of this mixture hazard rate model via a finite mixture of S-paths. A closed and tractable Bayes estimator for the hazard rate is derived to be a finite sum over S-paths. The path characterization or the estimator is proved to be a Rao--Blackwellization of an existing partition characterization or partition-sum estimator. This accentuates the importance of S-paths in Bayesian modeling of monotone hazard rates. An efficient Markov chain Monte Carlo (MCMC) method is proposed to approximate this class of estimates. It is shown that S-path characterization also exists in modeling with covariates by a proportional hazard model, and the proposed algorithm again applies. Numerical results of the method are given to demonstrate its practicality and effectiveness.

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Cited in

(8)

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• Bayesian nonparametric estimation of hazard rate in monotone Aalen model
• Monte Carlo Methods for Bayesian Inference on the Linear Hazard Rate Distribution
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