Abstract
Estimation of parameters of Poisson Nadarajah-Haghighi (PNH) distribution from the frequentist and Bayesian point of view is discussed in this article. To this end, we briefly described ten different frequentist approaches, namely, the maximum likelihood estimators, percentile based estimators, least squares estimators, weighted least squares estimators, maximum product of spacings estimators, minimum spacing absolute distance estimators, minimum spacing absolute-log distance estimators, Cramér-von Mises estimators, Anderson-Darling estimators and right-tail Anderson-Darling estimators. To assess the performance of different estimators, Monte Carlo simulations are done for small and large samples. The performance of the estimators is compared in terms of their bias, root mean squares error, average absolute difference between the true and estimated distribution functions, and the maximum absolute difference between the true and estimated distribution functions of the estimates using simulated data. For the Bayesian inference of the unknown parameters, we use Metropolis–Hastings (MH) algorithm to calculate the Bayes estimates and the corresponding credible intervals. Results from the simulation study suggests that among the considered classical methods of estimation, weighted least squares and the maximum product spacing estimators uniformly produces the least biases of the estimates with least root mean square errors. However, Bayes estimates perform better than all other estimates. Finally, we discuss a practical data set to show the application of the distribution.
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