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A Bayesian nonparametric estimator of a multivariate survival function |
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| Authors: | P Bulla P Muliere S Walker |
| Institution: | 1. Department of Decision Science, Bocconi University, via Roentgen 1, 20136 Milan, Italy;2. Institute of Mathematics, Statistics and Actuarial Science, University of Kent, Canterbury, Kent CT2 7NF, UK |
| Abstract: | Using reinforced processes related to beta-Stacy process and generalized Pólya urn scheme jointly with a structure assumption about dependence, a Bayesian nonparametric prior and a predictive estimator for a multivariate survival function are provided. This estimator can be computed through an easy implementation of a Gibbs sampler algorithm. Moreover consistency of the estimator is studied. |
| Keywords: | Multivariate survival function Bayesian nonparametric Beta-Stacy process Pó lya urn scheme |
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