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Activity Number: 352
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 10:30 AM to 12:20 PM
Sponsor: Section on Bayesian Statistical Science
Abstract - #304419
Title: Bayesian Estimation of the Expected Time of First Arrival Past a Truncated Time T: The Case of NHPP with Power Law Intensity
Author(s): Mostafa Aminazdeh*+
Companies: Towson University
Address: 8000 York Road, Dept. of Math, Towson, MD, 21252, United States
Keywords: Bayesian Inference ; NHPP ; Monte Carlo ; Power Law Intensity

Non-homogenous Poisson process (NHPP) under time-truncated sampling scheme is considered. A closed formula for the expected time of arrival of the first event after a truncated time T, is expressed as a function of intensity function. A non-informative prior as well as gamma priors for Power Law intensity function are used to obtain Bayes estimates of the expected time. For illustration purposes, the proposed method is applied to a data set on software failures, and a program with Mathematica source code for computation of the estimates is provided.

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