An Optimal Strategy for Estimating Weibull distribution Parameters by Using Maximum Likelihood Method

Abstract

Several methods have been used to estimate the Weibull parameters such as least square method (LSM), weighted least square method (WLSM), method of moments (MOM), and maximum likelihood (MLE). The maximum likelihood method is the most popular method (MLE). Newton-Raphson method has been applied to solve the normal equations of MLE’s in order to estimate the Weibull parameters. The method was used to find the optimal values of the Weibull distribution parameters for which the log-likelihood function is maximized. We tried to find the approximation solution to the normal equations of the MLE’s because there is no close form for get analytical solution. In this work, we tried to carry out a study that show the difference between two strategies to solve the MLE equations using Newton-Raphson algorithm. Both two strategies are provided an optimal solution to estimate the Weibull distribution parameters but which one more easer and which one converges faster. Therefore, we applied both strategies to estimate the Weibull’s shape and scale parameters using two different types of data (Real and simulation). We compared between the results that we got by applying the two strategies. Two studies have been done for comparing and selecting the optimal strategy to estimate Weibull distribution parameters using maximum likelihood method. We used some measurements to compare between the results such as number of steps for convergence (convergence condition), the estimated values for AIC, BIC and the RMSE value. The results show the numerical solution that we got by applying first strategy convergence faster than the solution that we got by applying second strategy. Moreover, the MRSE estimated by applying the first strategy is lower than the MRSE estimated by applying second strategy for the simulation study with different noise levels and different samples size.