Comparison of classic and Bayesian estimate of mean time b in a Poisson process

The classics statistics estimate of b is given by:

where we have observed  n durations (random samples from an Exponential distribution) with mean x.

The Bayesian estimate with a p(b) = 1/b prior, and a likelihood function of VoseGammaProb(n*x,n,b,0) gives a slightly lower estimate than the classic estimate for small n.

 

Mode

Mean

Classic

Bayesian

 

ModelRisk

Monte Carlo simulation in Excel. Learn more

Spreadsheet risk analysis modeling

Tamara

Adding risk and uncertainty to your project schedule. Learn more

Project risk analysis

Navigation

Enterprise Risk Management software (ERM)

Learn more about our enterprise risk analysis management software tool, Pelican

Enterprise risk management software introduction

FREE MONTE CARLO SIMULATION SOFTWARE

For Microsoft Excel

Download your free copy of ModelRisk Basic today. Professional quality risk modeling software and no catches

Download ModelRisk Basic now

FREE PROJECT RISK SOFTWARE

For Primavera & Microsoft Project

Download your free copy of Tamara Basic today. Professional quality project risk software and no catches.

Download Tamara Basic now