Merging expert and empirical data for rare event frequency estimation : pool homogenisation for empirical Bayes models

Quigley, John and Hardman, Gavin and Bedford, Tim and Walls, Lesley (2011) Merging expert and empirical data for rare event frequency estimation : pool homogenisation for empirical Bayes models. Reliability Engineering and System Safety, 96 (6). pp. 687-695. ISSN 0951-8320

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    Abstract

    Empirical Bayes provides one approach to estimating the frequency of rare events as a weighted average of the frequencies of an event and a pool of events. The pool will draw upon, for example, events with similar precursors. The higher the degree of homogeneity of the pool, then the Empirical Bayes estimator will be more accurate. We propose and evaluate a new method using homogenisation factors under the assumption that events are generated from a Homogeneous Poisson Process. The homogenisation factors are scaling constants, which can be elicited through structured expert judgement and used to align the frequencies of different events, hence homogenising the pool. The estimation error relative to the homogeneity of the pool is examined theoretically indicating that reduced error is associated with larger pool homogeneity. The effects of misspecified expert assessments of the homogenisation factors are examined theoretically and through simulation experiments. Our results show that the proposed Empirical Bayes method using homogenisation factors is robust under different degrees of misspecification.

    Author(s):Quigley, John, Hardman, Gavin, Bedford, Tim ORCID logoORCID: https://orcid.org/0000-0002-3545-2088 and Walls, Lesley ORCID logoORCID: https://orcid.org/0000-0001-7016-9141
    Item type:Article
    ID code:27910
    Keywords:poisson processes, empirical bayes, pairwise comparison, PRA , Risk Management, Applied Mathematics, Industrial and Manufacturing Engineering, Safety, Risk, Reliability and Quality
    Subjects:Social Sciences > Industries. Land use. Labor > Risk Management
    Department:Strathclyde Business School > Management Science
    Depositing user: Mrs Caroline Sisi
    Date deposited:11 Apr 2011 15:28
    Last modified:10 Oct 2019 00:38
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/27910
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