Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation

Bridge penalized regression has many desirable statistical properties such as unbiasedness, sparseness as well as ‘oracle’. In Bayesian framework, bridge regularized penalty can be implemented based on generalized Gaussian distribution (GGD) prior. In this paper, we incorporate Bayesian bridge-randomized penalty and its adaptive version into the quantile regression (QR) models with autoregressive perturbations to conduct Bayesian penalization estimation. Employing the working likelihood of the asymmetric Laplace distribution (ALD) perturbations, the Bayesian joint hierarchical models are established. Based on the mixture representations of the ALD and generalized Gaussian distribution (GGD) priors of coefficients, the hybrid algorithms based on Gibbs sampler and Metropolis-Hasting sampler are provided to conduct fully Bayesian posterior estimation. Finally, the proposed Bayesian procedures are illustrated by some simulation examples and applied to a real data application of the electricity consumption.     

Evidence of bias in the Eurovision song contest: modelling the votes using Bayesian hierarchical models

The Eurovision Song Contest is an annual musical competition held among active members of the European Broadcasting Union since 1956. The event is televised live across Europe. Each participating country presents a song and receive a vote based on a combination of tele-voting and jury. Over the years, this has led to speculations of tactical voting, discriminating against some participants and thus inducing bias in the final results. In this paper we investigate the presence of positive or negative bias (which may roughly indicate favouritisms or discrimination) in the votes based on geographical proximity, migration and cultural characteristics of the participating countries through a Bayesian hierarchical model. Our analysis found no evidence of negative bias, although mild positive bias does seem to emerge systematically, linking voters to performers.     

Bayesian estimation of rare sensitive attribute

Randomized response models have been used to estimate a population proportion of a sensitive attribute. A randomized device is typically employed to protect respondent's privacy in a survey. In addition, an unrelated question is asked to improve the statistical efficiency. In this article, we propose Bayesian estimation of rare sensitive attribute using randomized response technique, which includes a rare unrelated attribute. Two cases are considered, the proportion of a rare unrelated attribute is known and unknown. A simulation study is conducted to assess the performance of the models using mean absolute error and coverage probability. The results show that the performance depends on the parameters and is robust to priors.     

On the mathematics of the Jeffreys–Lindley paradox

This paper is concerned with the well known Jeffreys–Lindley paradox. In a Bayesian set up, the so-called paradox arises when a point null hypothesis is tested and an objective prior is sought for the alternative hypothesis. In particular, the posterior for the null hypothesis tends to one when the uncertainty, i.e., the variance, for the parameter value goes to infinity. We argue that the appropriate way to deal with the paradox is to use simple mathematics, and that any philosophical argument is to be regarded as irrelevant.     

Inference for Weibull distribution under adaptive Type-I progressive hybrid censored competing risks data

In this paper, a competing risks model is considered under adaptive type-I progressive hybrid censoring scheme (AT-I PHCS). The lifetimes of the latent failure times have Weibull distributions with the same shape parameter. We investigate the maximum likelihood estimation of the parameters. Bayes estimates of the parameters are obtained based on squared error and LINEX loss functions under the assumption of independent gamma priors. We propose to apply Markov Chain Monte Carlo (MCMC) techniques to carry out a Bayesian estimation procedure and in turn calculate the credible intervals. To evaluate the performance of the estimators, a simulation study is carried out.     

Bayesian ratemaking under Dirichlet process mixtures

Experience ratemaking plays a crucial role in general insurance in determining future premiums of individuals in a portfolio by assessing observed claims from the whole portfolio. This paper investigates this problem in which claims can be modeled by certain parametric family of distributions. The Dirichlet process mixtures are employed to model the distributions of the parameters so as to make two advantages: to produce exact Bayesian experience premiums for a class of premium principles generated from generic error functions and, at the same time, provide robust and flexible ways to avoid possible bias caused by traditionally used priors such as non informative priors or conjugate priors. In this paper, the Bayesian experience ratemaking under Dirichlet process mixture models are investigated and due to the lack of analytical forms of the conditional expectations of the quantities concerned, the Gibbs sampling schemes are designed for the purpose of approximations.     

Reversible jump Markov chain Monte Carlo algorithms for Bayesian variable selection in logistic mixed models

In this article, to reduce computational load in performing Bayesian variable selection, we used a variant of reversible jump Markov chain Monte Carlo methods, and the Holmes and Held (HH) algorithm, to sample model index variables in logistic mixed models involving a large number of explanatory variables. Furthermore, we proposed a simple proposal distribution for model index variables, and used a simulation study and real example to compare the performance of the HH algorithm with our proposed and existing proposal distributions. The results show that the HH algorithm with our proposed proposal distribution is a computationally efficient and reliable selection method.     

Major Accidents (Gray Swans) Likelihood Modeling Using Accident Precursors and Approximate Reasoning

Compared to the remarkable progress in risk analysis of normal accidents, the risk analysis of major accidents has not been so well‐established, partly due to the complexity of such accidents and partly due to low probabilities involved. The issue of low probabilities normally arises from the scarcity of major accidents’ relevant data since such accidents are few and far between. In this work, knowing that major accidents are frequently preceded by accident precursors, a novel precursor‐based methodology has been developed for likelihood modeling of major accidents in critical infrastructures based on a unique combination of accident precursor data, information theory, and approximate reasoning. For this purpose, we have introduced an innovative application of information analysis to identify the most informative near accident of a major accident. The observed data of the near accident were then used to establish predictive scenarios to foresee the occurrence of the major accident. We verified the methodology using offshore blowouts in the Gulf of Mexico, and then demonstrated its application to dam breaches in the United Sates.     

基于HHM-RFRM的船舶航行风险评估方法研究

船舶航行风险是由各种风险因素交互作用产生。综合 HHM-RFRM 理论，构建船舶航行多维风险情景危险度测度模型，以风险因素耦合视角探讨船舶航行风险管理问题。在船舶航行多维风险情景危险度测度模型中结合贝叶斯定理，对船舶航行风险情景进行了定性与定量化过滤、评级。最后以大连港某从事商务活动的货船为例，验证了所提出方法的可行性。传统的风险评估方法只能评估单个风险因素对系统的影响，此评估方法克服了这一局限性，为船舶航行风险管理提供新的视角。     

Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

Time-varying GARCH-M models are commonly employed in econometrics and financial economics. Yet the recursive nature of the conditional variance makes likelihood analysis of these models computationally infeasible. This article outlines the issues and suggests to employ a Markov chain Monte Carlo algorithm which allows the calculation of a classical estimator via the simulated EM algorithm or a simulated Bayesian solution in only O(T) computational operations, where T is the sample size. Furthermore, the theoretical dynamic properties of a time-varying-parameter EGARCH(1,1)-M are derived. We discuss them and apply the suggested Bayesian estimation to three major stock markets.