Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A SIMULATION STUDY OF BAYESIAN PROPORTIONAL HAZARDS MODELS WITH THE BETA PROCESS PRIOR

  • Lee, Jae-Yong (Department of Statistics, Seoul National University)
  • Published : 2005.09.01
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Abstract

In recent years, theoretical properties of Bayesian nonparametric survival models have been studied and the conclusion is that although there are pathological cases the popular prior processes have the desired asymptotic properties, namely, the posterior consistency and the Bernstein-von Mises theorem. In this study, through a simulation experiment, we study the finite sample properties of the Bayes estimator and compare it with the frequentist estimators. To our surprise, we conclude that in most situations except that the prior is highly concentrated at the true parameter value, the Bayes estimator performs worse than the frequentist estimators.

Keywords

References

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