Bayesian analysis under ordered functions of parameters

Abstract

Ordered parameter problems arise in a wide variety of real world situations and are dealt with extensively in the literature. Traditional frequentist methods for dealing with these problems are rather complicated theoretically, especially when sample sizes are small. Bayesian methods are not widely used because high dimensional numerical integration is often required. However, Markov chain Monte Carlo methods provide alternatives to such numerical integration and also deal with ordered parameter problems in a straightforward manner. Little is known about the situation where functions of parameters are ordered. Such problems may seem to be of little practical concern initially, but one can readily see their importance in situations where ordering is placed on the means and variances of several normal or Gamma populations. For the Gamma distribution we will present real examples where we will analyze monthly precipitation data from San Francisco, California and Oakland Mills, Iowa. For the San Francisco data we will simultaneously order both monthly precipitation means and variances. For the Iowa data we will place ordering on seasonal average while still estimating monthly means. Our results show that we would obtain sharper, more accurate inference when order restrictions are employed.