Application of Mixture Priors to Assessment of Performance
A“mixture prior” offers significant advantages in performance assessment, compared to diffuse priors previously considered for this application. In particular, a discrete mixture of natural conjugate priors gives a simple and relatively realistic way to model past performance while allowing the possibility of detecting changes in performance. For a range of possible data in a specific example, the behaviour of the resulting posterior is compared to that of posteriors resulting from more traditional priors.
KeywordsMaximum Likelihood Estimate Posterior Distribution Prior Distribution Past Performance Degraded State
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