Biometrika Trust

Preposterior Analysis of Bayes Estimators of Mean Life Author(s): Richard E. Barlow and Alexander S. Wu Reviewed work(s): Source: Biometrika, Vol. 68, No. 2 (Aug., 1981), pp. 403-410 Published by: Biometrika Trust Stable URL: http://www.jstor.org/stable/2335585 . Accessed: 22/05/2012 10:43
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.

Biometrika Trust is collaborating with JSTOR to digitize, preserve and extend access to Biometrika.

http://www.jstor.org

(1981), 68, 2, pp. 403-10 Biometrika Printedin GreatBritain

403

of analysisof Bayes estimators mean life Preposterior

By RICHARD E. BARLOW of Research,University California, and of Department IndustrialEngineering Operations Berkeley ANDALEXANDER S. WU of ResearchCenter, University California,Berkeley Operations
SUMMARY

from behaviouristic a Bayes pointofview,one may In considering testexperiments life mean underalternative on of speculateon theeffect modelmisspecification theposterior model,we expect the mean of the stoppingrules. Of course,underthe lifedistribution to posterior equal the mean ofthe prior.However,ifwe thinkthe model may have been we misspecified, would no longer expect this equality. It is shown that for Bayes estimators mean lifeunderthe exponentialmodeland generalpriorson mean life,we of will analysis,that the mean oftheposterior increasewith expect,based on a preposterior rate and certainfixedstopping failure samplesize whenthe truemodelhas an increasing of rulesare used. Also, we showthat forBayes estimators mean lifebased on the natural conjugate priorforthe exponentialmodel and completesamples,the Bayes riskis less the whenthecoefficient variationis lessthanfor exponentialmodel.Recommendations of relativeto use of lifetest samplingplans based on an exponentialmodel are made.
Life Some keywords:Bayesian bias; Censoreddata; Choice of samplingplan; Exponential lifedistribution; testing.

1. INTRODUCTION

In this paper, some life test plans are analysed with respectto theirrobustnessto life The objectiveis to obtainresultsusefulin selecting testplans. To form. distributional 6 with mean life6 E ) = [0, oo) and supporton this end, let F( . 0) be a lifedistribution we about 6 by letting denotea C given6. Since 6 is unknown, modelouruncertainty [0, sox) that6 It We suppose Tis chosenand fixed. is important 7T(6). variablewithdensity random modelF( . I 6) subjectonly of and i maybe considered independently our lifedistribution In restrictions. some parts of this paper we concentrateon the prior to measurability density
ba 0-(a+
= IT(6)

1) e- blG

F(a)

(1s1)

gamma priorwhichalso wherea, b > 0. Later, we also assume a > 2. This is the inverted happens to be the natural conjugate priorwhen F(xI) = 1 e-X/o. a S, Withthisset-up,supposewe chooseand perform lifetestexperiment, and observe data, D. After , F( a specifying lifedistribution, . I6),and prior we maycompute T(OD), I

404

RICHARD

E.

BARLOW AND ALEXANDER

S. WU

the posterior densityfor6 given the data, D. Let expected mean squared errorbe our criterion meritof an estimator 6. Then we seek 8(D) such that E,, F{6- (D)}2 iS a for of minimum. Expectation is withrespectto the probability measureon the sample space, determined our samplingplan, and 0, inducedby our lifedistribution by model F( 1?)
and prior density iT. It is well known that ?(D) = E(H |D)

fT(6 I D) d,

(1-2)

the mean of the posteriordensity, T(OID), minimizesexpected mean squared error among estimatorsbased on the data; E(I D) is called the Bayes estimatorof 6 with respect to squared errorloss. Also, it is well known that H(D) = E(OID) is Bayesian unbiased, i.e.
= En F{H(D)} = En,FJ 67r(OJD)dH Oop

(1.3)

whereSOis the mean ofthe priordensity, That is, we expect,in termsofpreposterior iT. analysis,the posterior mean to be the same as the mean ofthe prior.Since no data have actually been observed, this is perfectly consistent. Hence, given 7, F( . 6 and our 0) is experiment themeanoftheposterior Bayesian unbiasedand has leastexpectedmean &, squared erroramong estimatorsof 6 based on the data, D. that we are considering use of a certainlifedistribution the Suppose, however, model, namelythe exponential
G(x jI)
=

-exlo.

A the This oftenhappens in industry. contractmay specify lifedistribution model and proceduresto be used to demonstratea reliabilitygoal. If this is the case, we may of life models speculate,priorto observing data, about theeffect alternative distribution = E(6l D) be our Bayes estimatorfor6 on the estimator.For experiment let OG(D) &, wherethe posterior computedusingthe exponentiallifedistribution is model,G(. 6). If we thinkthat the model is incorrect and that F is the true model,then in general,
En,F{6G(D)}

+ 60,

F(.|6). Also,

i.e. our estimator,based on C, is not necessarilyunbiased if observationscome from

EX,F(6 SF(D)} 2

EC,F{6-6G(D)}2,

(1.4)

Our problemis so thatneither OG(D) best withrespectto expectedmean squared error. is to evaluate theextentofthesediscrepancies withrespect thesampling to plan chosen,i.e. thenumber testedand thestopping ruleemployed, wellas foralternative as classes oflife distributions.We call this paper a preposterioranalysis because we are in effect distribution beforeany data are actually observed.The speculatingabout the posterior objective is to recommendwhich sampling plan to employ when the model, say exponential,is actually misspecified. Our main resultsconcernBayesian bias of @(D) under selected stoppingrules when F(. 1 has decreasingmean residuallifeconditionalon 6; see Theorems3-1and 4-1.Our 6) second criterion the expectedmean squared error our estimator is of whenF( . | 6) is not exponential.Results forthis criterion given in ??2 and 3. are

Preposterioranalysis of Bayes estimators

405

2. COMPLETE SAMPLES In this section, we suppose n units are life tested until failureso that our data D = (x1,..., X) consist of n observed lifetimes.Given F(. I6), these are assumed independent, conditionalon 6. If the randomlifetime, has distribution X,
G(x IO) = 1-e-xlo,

>j thenn and = I xijn are sufficient 6. Let 1T be the naturalconjugatepriorgivenby for (1 1) witha > 2. Then, the Bayes estimatoris where
6(D) = (1-w) Ho+wx, So = b/(a-1), (2.1)

w = y2[n E{var (XIO)}+y2-, = b2/(a-1 )2(a-2). I2 We assume henceforth, that a > 2 SO that y2 < oo. For the prior given by (11), It can be shown(Biihlmann, 1970,pp. 100) that (2 1) is actuallytheleast squareslinear, in observations, to approximation the mean of the posterior densityforany F( 16)and with mean 60 and variance y2. For the exponentialdistribution . I 6), any prior ff G( is equation (241)is themeanoftheposterior onlyif7T thenaturalconjugateprior(Diaconis & Ylvisaker, 1979). Clearly, for any F( . 16)and T,
En, F{6(D)} =

w = n/(a+n-1).

w ( 1-w) 60 +w =o,

(2 2) (2 3)

so that (2-1) is always Bayes unbiased. Also, forany F( . 16)and priorX,

Es ,F{O- 6(D)}2
=

(1-W)2 y2 +W2 n- 1E{var (X | )}

y2

whereX has distribution . 16).Since F( lim w= lim1

n =o n- on- 1E{var (X
V

JY I 6)}+y

fl.16) andT.

it follows thatthelimiting is all expectedmeansquarederror zerofor F( . | 6) and iT.Hence, sample size n can be chosento achieve any specified expected mean squared errorgiven of Let cv (X I6) = {var (X O 6)}i/O,thecoefficient variationofX. Let Y have distribution
THEOREM

G(yIO)= 1-e-Y/0.

2-1. If cv (X 16)K 1 forall 6 E 0), then

E ,F{6-6(D)}2 EX,G{6-6(D)}2,
1

(2 4)

where 0(D) is givenby (2-1). If cv(X 6 > 1 theinequality 0) sign in (2 4) is reversed. Proof. For the exponential distributionG( . 6), cv (Y |) cv (X 1 < 1, then var (X 1 < 6 implies 6) 6) Equation (2-4) now followsfrom(2-5) and (2-3).
6(D) is the posteriormean based on using F( . 16). From (2I4),

= 1 for all 6. Hence, if (2 5)

O E{var (X I6)} ? E(F) = E{var (Y 6)}.

The Bayes riskis the expectedmean squared error withrespectto F(. 16)and a when we see easily that

406

RICHARD

E.

BARLOW AND ALEXANDER

S. WU

since

cv (X I6) < 1 impliestheBayes riskunderF( . 6 and ris less thantheBayes riskunderC H) mmE,, F(0-a)2
a
=

Es F{6- E(I D)}2 K Es

G{6

6(D)}2, 6).

based on F distribution whereE('wI is computedwith respectto the posterior D)

3. OBSERVATION

UNTIL THE kTH FAILURE

In this section,we suppose that n units are lifetested until the kth observedfailure occurs,k is fixedin advance. We call thissamplingplan (a). At thispoint,testingstops. Although this sampling plan is perhaps not as useful as the plan which stops at a preassigned timet,it is easierto study.Also, resultsforthisstoppingrulesuggestsimilar resultsforthe case of time truncatedsampling,samplingplan (b). D of lifetimes = (X(1) < ... < X(k)). If therandomlifetime Ourdata consists thek ordered X has distribution G(x I0) = 1 - e - xl, then k and the total time on test, T = for are sufficient 6. Let
fTbe k i= 1

x(,)+ (n -k) X(k))

the natural conjugate (I 1). Then, the Bayes estimatoris 6(k) = (1-w) S0+wT/k, (3.1)

wherew = y2/[k1 E{var (X I6)} and conditionalon 6, Since,underexponentiality +)2]. T is the sum ofk independent exponentials, (3-1)is actuallytheleast squares linear,in T, with mean SOand approximationto the mean of the posteriordensityforany prior7r variance y2 as in ?2. Although(3d1)is Bayes unbiased forthe exponentialmodel and any prior,it is not necessarily unbiased forarbitrary F(. 6). THEOREM 1. If F( 1 has decreasing 3 6) mean residuallifeconditional 6, then on
En, F{O(k)} >

04?.

(3 2)

Thepriori8 the naturalconjugate 1). Compare with (LI this Theorem 1 in the 4 next section. The is mean residuallife. inequality reversed F(. I6) has increasing if 6 Proof.Assume F(. 0) has decreasingmean residuallife.For k = n, 6(n)=
0()a+n-1

(a-i)

0+

0a+n-1

and Es, F{A(n)} = 6o. ApplyingBayes's theorem and properties the naturalconjugate, of we have fork < n, (3 3) 0(n) = ( 1-w) 0(k) + WT(X(k), oo)/(n- k), wherew = (n - k)/(a + n -1) and T(x(k), xo)is the total time on test from to the last x(k) orderedfailuretime. Taking expectations,we have
00

(a+k-,

E{(k)}+(n-k

E{6*(x)}

(34)

Preposterioranalysis of Bayes estimators

407

where O*(X(k)) is the mean residual life conditionalon 0 and given survival to X(k). By assumption, (3 0*(xk))< 0 forall x(k) and 0 so that E,s,F{0*(x(k))} < 0H.Hence, from 4), we must have E,,,F{O(k)}> 00. The proofwhen F( . 10) has increasingmean residual lifeis similar. If F(. I0) has increasing failure rate,thenF( . 0) has decreasing mean residuallife.The converse is false in general. Under the strongerincreasingfailurerate assumption, Bayesian bias actually increases with n for fixed k. We prove this and more in the following.
THEOREM

0 3-2.If F(. 0) has increasing failurerate,then

F{OG(k) In} En,

increasesin n forfixed k and arbitrary prior. Let SG(k)= E(6Ik, T) and theprior be is mean underC and arbitrary withmean 00 and variancey2.Note thatOG(k) theposterior arbitrary prior.It is notnecessarily linearin T. Proof.AssumeF has increasing failure rate. It can be shownthat when T is arbitrary, the posterior mean underC, E(6Iw T), is increasing T forfixedk. Barlow & Proschan k, in 0 failure (1966) showedthatwhenF( . 0) has increasing rate,pr (T > tIk,n, 0) is increasing in n forfixedk and conditionalon 0. It followsthat is increasing n. in I En,F{6G(k) n} = E,F{E( k,T, n)}

If F( . I0) has decreasingfailurerate, all inequalitiesare reversed. For samplingplan (a), not onlythe Bayesian bias but also the expectedmean squared errorcan be unfavourablefor0(k), given by (3-1). In particular,if F(x I0) has orderof withrespectto x, greaterthan that of an exponentialdistribution contactat the origin, 0 G(x 0), then lim E, F{9- 0(k)}2 = 00
noo

forfixedk. For example, this is true if F(xlO) = 1-exp[-{F(+1l/c6)}ax"/10] whereof 1 is known. >
THEOREM3-3.Assume (x> O),

lim {F(x I0)/x,}= c > 0, lim E,,,F{O-6(k)}2 = 00.

(3 5)

where > 1. That is, F(x 0 is O(x') as x I 0. Then,for 0(k), givenby (3 1) and fixedk, of H)
n - oo

(3 6)

The proof an easy consequenceofthefactthat,under(3 5), F( . 0) is in thedomainof is attraction a Weibulldistribution of withshape parametera. This is a well-known factin extremevalue theory;see Barlow & Proschan (1975, p. 241).

408

RICHARD E. BARLOW AND ALEXANDER S. WU

4. OBSERVATION UNTIL TIME t

In this section,we suppose n units are lifetesteduntiltime t. This is a commonand important testsamplingplan, called samplingplan (b). If the randomlifetime has life X 6 distribution G(x 0) = 1 - e - xl, then k, the observed number of failufes and
T i=
k

() + (n-k) t,

the total time on test are togethersufficient statisticsfor6. For the natural conjugate prior(1L1),witha > 1, the mean of the posterior now is 6(t)- {60+T/(a-1) E, G{ (k0), (4.1) (42)

wherew = k/(a+ k-1). Under exponentiality and the natural conjugate prior,
(t)} =600

by (13) since the posteriormean is always Bayesian unbiased when expectation is computedwith respectto the model. However, in general,E,, F{O(t)} + 00.
THEOREM

4-1. If F(. 1 has decreasing 6) mean residuallife,then

(4-3) The prior,IT, is thenaturalconjugate is (11) fortheexponential. The inequality reversed if F(. I6) has increasing mean residuallife. 6 Proof. Assume F( . 0) has decreasing mean residual life. If t = x, then we have completeobservationsand our estimatorbecomes
6 = (1-w) 60 +wx

I >, Enc,F{O^(t) Ho

(t > O).

and En, F(O) = 6ofor F(. 6 in thiscase, see ? 2. Now supposek failures all 0) occurin [0,t). By Bayes's theoremand properties the natural conjugate prior, of H (-w) a(t)

(t)+ wT(t,oo)/(n-k)

(k = n),

(k <n),

units at time t. Let D1 = {k, T(t)} be the observeddata forthe interval[0,t); that is, the numberof failures,k, and the total time on test T(t) in [0,t). Since F( . 6) has decreasingmean residuallifeconditionalon 6, we have
F ',

where w = (n - k)/(a+ n -1) and T(t, cx) is the total residual life of the remaining n - k

r nk

En, F

a+n-1

(a+D (a )E(nDl)

(45)

Hence, N t-k
give D1, the ditibto is- Ipae of -lay sn

H
.Hne

NoteA1 -ht

Preposterioranalysis of Bayes estimators E(6 D1) = 0(t). Also, w = 0 if k = n. It followsthat

0=

409

E1,F(0)< En,F{(1 Fw)

@(t)} En,F{(t)} +

=E,

as was to be shown. All inequalitiesare reversedwhen F( . I0) has increasing mean residuallife. If F(. 1 has increasing 0) failure meanresiduallifeso that rate,thenit also has decreasing in this case. (43) holds Sample theory approachesto theexponentialmodeland sampling plans (a) and (b) are discussedby Bartholomew(1957, 1963) and Barlow & Proschan (1967, p. 548). Sample theoryanalogues to Theorems341,32 and 3-3are givenby Barlow & Proschan (1967, p. 551). There is no sample theoryanalogue to Theorem441. 5. CONCLUDING REMARKS For completesampling, thereis no Bayesian bias using(241).Also, the expectedmean squared error is finite. For distributionsin the increasing failure rate class, the preposterior expected mean squared erroris less than underexponentiality. Hence, for completesamplingand F( . 10 with increasingfailurerate, we may proceed under the ) choiceofsamplesize,in thiscase exponentialmodelassumption.We can, by appropriate controlthe preposterior expected mean squared error. However,forthe samplingplan whichstops at the kthobservation, timet,we have or bias ifF( . I0) has decreasing meanresiduallife.Hence, ifit is necessary positiveBayesian to use stoppingrule (a) or (b), and we have strongreason to believe that F(. I6) is not exponential,thenwe should considera Bayesian robustness study at the data analysis stage. For example,we mightconsidera class of lifedistributions . Iof, indexed by F( 0) mean life,0,and a parameter oz.For oz= 1, we might have F(x Ioz= 1, 0) = 1- e -'I'. Then, fora joint prior T(a,0), we computethe marginalposterior densities

I 7r*(0 D) = fr(o H| D) do,

r(0ID) = a(0 ac = 1,D).

If the marginalposterior densities, theirmeans,are 'close', we thenconcludethat our or = proceduresbased on of 1, and our data D, are robustforthe familyF( . I , 0) (Box & Tiao, 1972,Chapter3). We did not pursuethistype of robustness here.In contrast, our speculations and analysis were all in the mind. Our specifiedprior,iT, was our only reference with respectto knowledgeabout the mean life,0. We owe a great debt to Dev Basu, who is responsibleforour use of the Bayesian paradigmin thispaper; see Basu (1975). The workwas supportedby the Office Naval of Research.
REFERENCES E. & PROSCHAN, F. (1966). Inequalities forlinearcombinations orderstatisticsfrom of restricted families.Ann. Math. Statist.37, 1574-92. BARLOW, R. E. & PROSCHAN, F. (1967). Exponential lifetest procedures whenthe distribution monotone has failurerate. J. Am. Statist.Assoc. 62, 548-60. BARLOW, R. E. & PROSCHAN,F. (1975). Statistical Theory Reliability LifeTesting: of and Models.New Probability York: Holt, Rinehart& Winston.
BARLOW, R.

410
BARTHOLOMEW, D. BARTHOLOMEW,D.

RICHARD E. BARLOW AND ALEXANDER S. WU

J. (1957). A problemin lifetesting.J. Am. Statist.Assoc. 52, 350-5. J. (1963). The samplingdistribution an estimatearisingin lifetesting.Technometrics of 5,

BASU, D. (1975). Statisticalinformation and likelihood.Sankhya 37, 1-71.

361-74.

BtJHLMANN, H. (1970). Mathematical Methodsin Risk Theory. New York: Springer-Verlag. DIACONIS, R. & YLVISAKER, D. (1979). Conjugate priorsforexponentialfamilies. Ann. Statist.7,

G. Box, G. E. P. & TIAO, C. (1973). BayesianInference Statistical in Analysis.Reading,Mass: Addison-Wesley. 269-81.

[Received March 1980. RevisedJanuary 1981]