The effect of loss functions on empirical Bayes reliability analysis

The aim of the present study is to investigate the sensitivity of empirical Bayes estimates of the reliability function with respect to changing of th e loss function. In addition to applying some of the basic analytical resul ts on empirical Bayes reliability obtained with the use of the "popular" sq uared error loss function, we shall derive some expressions corresponding t o empirical Bayes reliability estimates obtained with the Higgins-Tsokos, t he Harris and our proposed logarithmic loss functions, The concept of effic iency, along with the notion of integrated mean square error, will be used as a criterion to numerically compare our results. It is shown that empirical Bayes reliability functions are in general sensi tive to the choice of the loss function, and that the squared error loss do es not always yield the best empirical Bayes reliability estimate.