Determine Sample Size to Estimate the Average Parameter of a Heavy Tails Distribution Using Bayesian Methodology

Jasim OR and Salih SA

Published on: 2024-04-13

Abstract

The generalized modified Bessel distribution is one of the most suitable mixed distributions. It is the result of mixing the normal distribution with the generalized inverse Gaussian distribution.

In this paper, The optimal sample size Analysis has been taken from the generalized modified Bessel population to estimate the mean parameter when the variance and shape parameters are known, using the informative prior information to estimate the mean parameter under the quadratic loss function. Then sampling and non-sampling approaches are used for the estimate of the parameter. Also, it has been noted that the posterior probability distribution for a mean parameter is following a generalized modified Bessel distribution. Through the simulation, we note Bayesian sample size is inversely proportional to the sampling cost (c) per unit.

Keywords

Generalized modified bessel distribution; Quadratic loss function; Cost function; Bayesian sample size

Introduction

The generalized modified Bessel distribution is considered one of the most suitable mixed distributions, as this distribution is more general than the two distributions (normal and T) as special cases, and it is considered that the generalized modified Bessel distribution as a special case of the symmetrical hyperbolic distributions, and this distribution has practical applications in a variety of areas which includes stock market data presentation, quality control data and filtering random-sign analysis. To conduct any study on data that follows this distribution, its parameters must be estimated to be able to predict and obtain accurate results to solve a particular problem. The characteristics of the community are determined by studying a sample drawn from it, provided that the sample bears the maximum degree of accuracy to represent the community, and this leads to reducing the costs of the field study due to the small size of the sample about the size of the community. There are several sampling methods to determine the sample size to be used in statistical inference, and one of these methods is using the Bayesian sampling method, which in its study depends on taking into account the loss functions with the cost function.[13] was the first to use the Bayesian method to estimate the linear regression model, assuming that the random error distribution is a generalized multivariate modified Bessel distribution when the prior distribution of parameters is a proper distribution, which is the result of mixing two continuous probability distributions. They are the normal distribution and the generalized inverse Gaussian distribution [14]. [11] Determine the Bayesian sample size to estimate the mean and the difference between the mean of the normal distribution when the variance is known and estimate the variance when the mean is known, as well as determine the Bayesian sample size to estimate the parameter of the Poisson and Exponential distribution using different loss functions. [11] The research provided a general introduction to the subject and a description of the generalized modified Bessel distribution, as well as the Bayesian sample size determination to estimate the mean parameter when the prior distribution is proper and using a quadratic loss function.