Bayes and Non-Bayes Estimation of Change Point in Nonstandard Mixture Inverse Weibull Distribution

Abstract

We consider a sequence of independent random variables X1, X2,… , Xm, …,Xn (n ≥ 3) exhibiting a change in the probability distribution of the data generating mechanism. We suppose that the distribution changes at some point, called a change point, to a second distribution for the remaining observations. We propose Bayes estimators of change point under symmetric loss functions and asymmetric loss functions. The sensitivity analysis of Bayes estimators are carried out by simulation and numerical comparisons with R-programming.