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Mathematics and Computers in Simulation 78 (2008) 493–506

Lindley distribution and its application

M.E. Ghitany a , B. Atieh a , S. Nadarajah b,∗
a Department of Statistics and Operations Research, Faculty of Science, Kuwait University, Safat 13060, Kuwait
b School of Mathematics, University of Manchester, Manchester M60 1QD, UK

Received 29 January 2007; received in revised form 26 May 2007; accepted 30 June 2007
Available online 10 July 2007

Abstract
A treatment of the mathematical properties is provided for the Lindley distribution. The properties studied include: moments,
cumulants, characteristic function, failure rate function, mean residual life function, mean deviations, Lorenz curve, stochastic
ordering, entropies, asymptotic distribution of the extreme order statistics, distributions of sums, products and ratios, maximum
likelihood estimation and simulation schemes. An application to waiting time data at a bank is described.
© 2007 IMACS. Published by Elsevier B.V. All rights reserved.

Keywords: Exponential distribution; Lindley distribution; Waiting time data

1. Introduction

The Lindley distribution specified by the probability density function (p.d.f.)

θ2
f (x) = (1 + x) e−θx , x > 0, θ > 0 (1)
θ+1
was introduced by Lindley [8,9]. The corresponding cumulative distribution function (c.d.f.) is:
θ + 1 + θx −θx
F (x) = 1 − e , x > 0, θ > 0. (2)
θ+1
A distribution that is close in form to (1) is the well-known exponential distribution given by the p.d.f.
f (x) = θ e−θx , x > 0, θ > 0.
However, due to the popularity of the exponential distribution in statistics and many applied areas, the Lindley distribu-
tion given by (1) has been overlooked in the literature. To the best of our knowledge, statistical properties of the Lindley
distribution have not been known. The aim of this paper is to set the records straight about the Lindley distribution.
We show that in many ways the Lindley distribution is a better model than one based on the exponential distribution.
The results of this paper are organized as follows. Sections 2–11 provide a comprehensive treatment of the math-
ematical properties of the Lindley distribution. We find that many of the mathematical properties are more flexible

∗ Corresponding author.
E-mail address: saralees.nadarajah@manchester.ac.uk (S. Nadarajah).

0378-4754/$32.00 © 2007 IMACS. Published by Elsevier B.V. All rights reserved.

doi:10.1016/j.matcom.2007.06.007
494 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506

than those of the exponential distribution. Estimation and simulation issues of the Lindley distribution are discussed
in Sections 12 and 13. Finally, Section 14 illustrates a real data application to show the superiority of the Lindley
distribution over the exponential distribution.

2. Shape

Remark. Sankaran [12] used (1) as a mixing model for the Poisson parameter to generate a mixed Poisson distribution
known as the discrete Poisson–Lindley distribution with the probability mass function (p.m.f.):
 ∞
λz θ 2 (θ + 2 + z)
Pθ (Z = z) = e−λ .f (λ; θ) dλ = , z = 0, 1, 2, . . . , θ > 0. (3)
0 z! (θ + 1)3+z
It is well known that many properties of a continuous mixing distribution are inherited in the corresponding discrete
mixed Poisson distribution, see, for example, Holgate [6] and Grandell [5]. Thus, many of the properties of (3) such
as shape and failure rate can be obtained directly from those of (1).

The first derivative of (1) is:

d θ2
f (x) = (1 − θ − θx) e−θx .
dx θ+1
It follows that

(i) For θ < 1, (d/dx)f (x) = 0 implies that x0 = ((1 − θ)/θ) is the unique critical point at which f (x) is maximized.
(ii) For θ ≥ 1, (d/dx)f (x) ≤ 0, i.e. f (x) is decreasing in x.

Fig. 1 shows the p.d.f. of the Lindley distribution for selected values of θ.

Remarks.

(i) The mode of the Lindley distribution is

⎧
⎨ 1 − θ , if 0 < θ < 1;
mode(X) = θ
⎩
0, otherwise.

(ii) According to Holgate [6], unimodality of the mixing Lindley distribution implies unimodality of the discrete
Poisson–Lindley distribution.

Fig. 1. The probability density function.

 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506 495

Remark. Note that the mode of the exponential distribution is always at 0 while the mode of the Lindley distribution
can be more varied as seen above.

Remark. Let the notation X ∼ Lindley(θ) denote a continuous random variable whose p.d.f. is given by (1).

Theorem 1. Let X ∼ Lindley(θ). Then

mode(X) < median(X) < E(X).

Proof. Let M = mode(X), m = median(X) and μ = E(X) = ((θ + 2)/θ(θ + 1)). Since the c.d.f. is given by (2) it
follows that
⎧
⎨ 1 − 2 e−(1−θ) , if 0 < θ < 1;
F (M) = θ+1
⎩
0, otherwise,

1
F (m) = ,
2
θ 2 + 3θ + 3 −((θ+2)/(θ+1))
F (μ) = 1 − e .
(θ + 1)2
Note that F (M) is a decreasing function in θ ∈ (0, 1) and, for all θ > 0, 0 ≤ F (M) < 1 − 2 e−1 < (1/2). Similarly, F (μ)
is an increasing function in θ > 0 and (1/2) < 1 − 3 e−2 < F (μ) < 1. Finally, since F (x) is an increasing function in
x > 0 for all θ > 0, we have M < m < μ. 

Remark. The result of Theorem 1 also holds for the exponential distribution.

Remark. For unimodal and positively skewed distributions whose first three moments exist, Abadir [1] provided
counter examples which show that the inequality mode ≤ median ≤ mean does not necessarily hold.

3. Moments and related measures

The rth moment about the origin of the Lindley distribution is:
r!(θ + r + 1)
μr = E(Xr ) = , r = 1, 2, . . . .
θ r (θ + 1)
In particular, we have
θ+2
μ1 = = μ,
θ(θ + 1)
2(θ + 3)
μ2 = 2 ,
θ (θ + 1)
6(θ + 4)
μ3 = 3 ,
θ (θ + 1)
24(θ + 5)
μ4 = 4 .
θ (θ + 1)
Note that the rth moment about the origin for the exponential distribution is μr = r!/θ r .

Remark. According to Ottestad [10], if Z|X = x ∼ Poisson(x), then the rth factorial moment of Z is E[Z(Z −
1) . . . (Z − r + 1)] = E(Xr ), r = 1, 2, . . .. Thus, the rth factorial moment of the discrete Poisson–Lindley distribution
with the p.m.f. (3) is
r!(θ + r + 1)
E[Z(Z − 1) . . . (Z − r + 1)] = , r = 1, 2, . . . .
θ r (θ + 1)
496 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506

The central moments of the Lindley distribution are:

 
k 
k
μk = E{(X − μ) } =k
μr (−μ)k−r .
r=0
r

In particular, we have

θ 2 + 4θ + 2
μ2 = = σ2,
θ 2 (θ + 1)2
2(θ 3 + 6θ 2 + 6θ + 2)
μ3 = ,
θ 3 (θ + 1)3
3(3θ 4 + 24θ 3 + 44θ 2 + 32θ + 8)
μ4 = .
θ 4 (θ + 1)4
√
The coefficient of variation (γ), skewness ( β1 ) and the kurtosis (β2 ) are:
√
θ 2 + 4θ + 2
γ= ,
θ+2
√ 2(θ 3 + 6θ 2 + 6θ + 2)
β1 = 3/2
,
(θ 2 + 4θ + 2)
3(3θ 4 + 24θ 3 + 44θ 2 + 32θ + 8)
β2 = 2
.
(θ 2 + 4θ + 2)

Remarks.

√
(i) √
γ is an increasing function in θ and (1/√ 2) <√γ < 1, see Fig. 2.
(ii) β1 is an increasing function in θ and 2 < β1 < 2, see Fig. 2.
(iii) β2 is an increasing function in θ and 6 < β2 < 9, see Fig. 2.

√
Remark. The coefficient of variation (γ), skewness ( β1 ) and the kurtosis (β2 ) for the exponential distribution are 1,
2 and 6, respectively. Thus, the above remark suggests that the Lindley distribution is more flexible than the exponential
distribution.

Fig. 2. The coefficient of variation, skewness and kurtosis.

 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506 497

4. Cumulants

The characteristic function, φ(t) = E[exp(itX)], of the Lindley distribution is:

θ 2 (θ − it + 1)
φ(t) = ,
(θ + 1)(θ − it)2
√
where i = −1 is the complex unit. Thus, the cumulant generating function is

it it
K(t) = log 1 − − 2 log 1 − .
θ+1 θ
Hence, using the expansion that
∞ r
x
log(1 − x) = − ,
r
r=0

it follows that the rth cumulant is

2(r − 1)! (r − 1)!
κr = − .
θr (θ + 1)r
Note that the rth cumulant of the exponential distribution is (r − 1)!/θ r .

5. Failure rate and mean residual life

For a continuous distribution with p.d.f. f (x) and c.d.f. F (x), the failure rate function, also known as the hazard rate
function, is defined as
P(X < x + x|X > x) f (x)
h(x) = lim = .
x→0 x 1 − F (x)
For the Lindley distribution, the hazard rate function is

θ 2 (1 + x)
h(x) = . (4)
θ + 1 + θx

Remarks.

(i) h(0) = f (0) = θ 2 /(θ + 1).

(ii) h(x) is an increasing function in x and θ and θ 2 /(θ + 1) < h(x) < θ.
(iii) The following chain of implications is well known

IFR ⇒ IFRA ⇒ NBU ⇒ NBUE

where IFR, IFRA, NBU, NBUE denote increasing failure rate, increasing failure rate average, new better than
used, and new better than used in expectation, respectively. For more details about the definitions of these aging
properties, see Barlow and Proschan [2].
(iv) According to page 135 of Grandell [5], IFR mixing distribution implies that the corresponding mixed Poisson
distribution is also IFR. Thus, the discrete Poisson–Lindley distribution is IFR.

Remark. For the exponential distribution, h(x) = θ and so (4) again shows the flexibility of the Lindley distribution
over the exponential distribution.
498 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506

Fig. 3. The failure rate function.

For a continuous distribution with p.d.f. f (x) and c.d.f. F (x), the mean residual life function is defined (Fig. 3) as
 ∞
1
m(x) = E(X − x|X > x) = [1 − F (t)] dt.
1 − F (x) x
For the Lindley distribution, the mean residual life function is
 ∞
1 θ + 2 + θx
m(x) = (θ + 1 + t) e−θt dt = . (5)
(θ + 1 + θx) e−θx x θ(θ + 1 + θx)
Remarks.

(i) m(0) = μ.
(ii) m(x) is a decreasing function in x and θ and 1/θ < m(x) < (θ + 2)/(θ(θ + 1)) = μ.
(iii) The IFR discrete Poisson–Lindley distribution also has a decreasing mean residual life function.

Remark. For the exponential distribution, m(x) = 1/θ and so (5) again shows the flexibility of the Lindley distribution
over the exponential distribution.

6. Mean deviations

The amount (Fig. 4) of scatter in a population is evidently measured to some extent by the totality of deviations
from the mean and the median. These are known as the mean deviation about the mean and the mean deviation about

Fig. 4. The mean residual life function.

 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506 499

the median—defined by
 ∞
δ1 (X) = |x − μ|f (x) dx
0
and
 ∞
δ2 (X) = |x − M|f (x) dx,
0
respectively, where μ = E(X) and M = Median(X). These measures can be calculated using the relationship that
 m  ∞
E{|X − m|} = (m − x)f (x) dx + (x − m)f (x) dx
0 m
 m   m 
=2 (m − x)f (x) dx = 2 mF (m) − xf (x) dx . (6)
0 0
Simple calculations based on (6) yield the following expressions for the Lindley distribution:


2+θ exp(−μθ) 2
δ1 (X) = 2 μ − − +1+μ
θ(θ + 1) θ+1 θ
and


2+θ exp(−Mθ) 2
δ2 (X) = 2 M − − +1+M .
θ(θ + 1) θ+1 θ
The corresponding expressions for the exponential distribution are: 2μ − (2/θ){1 − exp(−μθ)} and 2M − (2/θ){1 −
exp(−Mθ)}.

7. Lorenz curve

The Lorenz curve for a positive random variable X is defined as the graph of the ratio
E(X|X ≤ x)F (x)
L(F (x)) = (7)
E(X)
against F (x) with the properties L(p) ≤ p, L(0) = 0 and L(1) = 1. If X represents annual income, L(p) is the proportion
of total income that accrues to individuals having the 100p% lowest incomes. If all individuals earn the same income
then L(p) = p for all p. The area between the line L(p) = p and the Lorenz curve may be regarded as a measure of
inequality of income, or more generally, of the variability of X, see Gail and Gastwirth [4] and Dagum [3] for extensive
discussion of Lorenz curves. For the exponential distribution, it is well known that the Lorenz curve is given by
L(p) = p{p + (1 − p) log(1 − p)}.
For the Lindley distribution in (1),

2+θ exp(−θx) 2
E(X|X ≤ x)F (x) = − + 1 + 2x + θx + θx2 .
θ(θ + 1) θ+1 θ
Thus, from (7) we obtain the Lorenz curve for the Lindley distribution as

θ(θ + 1)(1 − p) 2
L(p) = 1 − + 1 + 2x + θx + θx2 ,
(θ + 2)(θ + 1 + θx) θ
where x = F −1 (p) with F (·) given by (2).

8. Stochastic orderings

Stochastic ordering of positive continuous random variables is an important tool to judge the comparative behavior.
We shall recall some basic definitions.
500 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506

A random variable X is said to be smaller than a random variable Y in the

(i) stochastic order (X≤st Y ) if FX (x) ≥ FY (x) for all x;

(ii) hazard rate order (X≤hr Y ) if hX (x) ≥ hY (x) for all x;
(iii) mean residual life order (X≤mrl Y ) if mX (x) ≤ mY (x) for all x;
(iv) likelihood ratio order (X≤lr Y ) if (fX (x))/(fY (x)) decreases in x.

The following implications (Shaked and Shanthikumar [13]) are well known:
X≤lr Y ⇒ X≤hr Y ⇒ X≤mrl Y
⇓ (8)
X≤st Y
The Lindley distributions are ordered with respect to the strongest “likelihood ratio” ordering as shown in the following
theorem.
Theorem 2. Let X ∼ Lindley(θ1 ) and Y ∼ Lindley(θ2 ). If θ1 > θ2 then X≤lr Y and hence X≤hr Y , X≤mrl Y a nd
X≤st Y .
Proof. First note that
fX (x) θ 2 (θ2 + 1) (θ2 −θ1 )x
= 12 e , x > 0.
fY (x) θ2 (θ1 + 1)
Since, for θ1 > θ2 ,
d fX (x) fX (x)
= (θ2 − θ1 ) < 0,
dx fY (x) fY (x)
(fX (x))/(fY (x)) is decreasing in x. That is X≤lr Y . The remaining statements follow from the implications in (8). 

Remark. The result of Theorem 2 also holds for the exponential distribution.

9. Entropies

An entropy of a random variable X is a measure of variation of the uncertainty. Rényi entropy is defined by
 
1
JR (γ) = log γ
f (x) dx , (9)
1−γ
where γ > 0 and γ = 1 (Rényi [11]). For the Lindley distribution in (1), note that

θ 2 exp(θγ)Γ (γ + 1, θγ)
f γ (x) dx = , (10)
(θ + 1)(θγ)γ+1
where Γ (·, ·) is the incomplete gamma function defined by
 ∞
Γ (a, x) = t a−1 exp(−t) dt.
x
From (10), one obtains the Rényi entropy as given by
θγ + log Γ (γ + 1, θγ) − log(θ + 1) − (γ + 1) log γ
JR (γ) = log θ + . (11)
1−γ
Shannon’s entropy defined by E[− log f (X)] is the particular case of (9) for γ ↑ 1. Limiting γ ↑ 1 in (11) and using
L’Hospital’s rule, one obtains

exp(θ) ∂Γ (γ + 1, θγ) 
E[− log f (X)] = log θ − θ + 2 −  .
1+θ ∂γ γ=1
 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506 501


Song [14] observed that the gradient of the Rényi entropy JR (γ) = (d/dγ)JR (γ) is related to the log-likelihood by
 
JR (1) = −(1/2)Var[log(f (X))]. This equality and the fact that the quantity −JR (1) remains invariant under location

and scale transformations motivated Song to propose −2JR (1) as a measure of the shape of a distribution. Taking the
first derivative of (11) and then limiting γ ↑ 1 using L’Hospital’s rule, one gets the expression


 exp(θ) ∂2 Γ (γ + 1, θγ)  exp(2θ) ∂Γ (γ + 1, θγ) 2 
−2JR (1) =  −  (12)
1+θ ∂γ 2 γ=1 (1 + θ)2 ∂γ 
γ=1

for the measure proposed by Song [14]. This measure plays a similar role as the kurtosis measure in comparing the
shapes of various densities and measuring heaviness of tails. For the exponential distribution, JR (γ) = − log θ −
 
log γ/(1 − γ), JR (γ) = {1 − 1/γ − log γ}/(γ − 1)2 and −2JR (1) = 1. Thus, (12) again shows the flexibility of the
Lindley distribution over the exponential distribution.

10. Extreme order statistics

If X1 , . . . , Xn is a random√sample from (1) √ and if X̄ = (X1 + · · · + Xn )/n denotes the sample mean then by the
usual central limit theorem n(X̄ − E(X))/ Var(X) approaches the standard normal distribution as n → ∞, see
Theorem 4. Sometimes one would be interested in the asymptotics of the extreme values Mn = max(X1 , . . . , Xn ) and
mn = min(X1 , . . . , Xn ). For the c.d.f. in (2), it can be seen that

1 − F (t + x)
lim = exp(−θx)
t→∞ 1 − F (t)

and
F (tx)
lim = x.
t→0 F (t)

Thus, it follows from Theorem 1.6.2 in Leadbetter et al. [7] that there must be norming constants an > 0, bn , cn > 0
and dn such that

Pr{an (Mn − bn ) ≤ x} → exp{− exp(−θx)} (13)

and

Pr{cn (mn − dn ) ≤ x} → 1 − exp(−x) (14)

as n → ∞. The form of the norming constants can also be determined. For instance, using Corollary 1.6.3 in Leadbetter
et al. [7], one can see that an = 1 and bn = F −1 (1 − 1/n) with F (·) given by (2).

Remark. For the exponential distribution, the asymptotic distributions of Mn = max(X1 , . . . , Xn ) and mn =
min(X1 , . . . , Xn ) also take the forms given by (13) and (14).

11. Sums, products and ratios

It is well known that the sum of two exponential random variables with the common parameter θ has the gamma
distribution while their ratio has the F distribution. In this section, we explore how these results generalize to the
Lindley distribution. Let Xi , i = 1, 2 be independent random variables having the Lindley distribution with parameters
θi , i = 1, 2. Define R = X1 + X2 , P = X1 X2 and W = X1 /X2 . Simple calculations show that the p.d.f.s of R, P andW
502 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506

are

1+r r
fR (r) = C exp(−θ2 r) [1 − exp(−(θ1 − θ2 )r)] + [1 − (1 + (θ1 − θ2 )r) exp(−(θ1 − θ2 )r)]
θ1 − θ 2 (θ1 − θ2 )2
   
1 (θ1 − θ2 )2 r 2
− 1 − 1 + (θ1 − θ2 )r + exp(−(θ1 − θ2 )r) ,
(θ1 − θ2 )3 2
 
θ2 p √ √ θ1 
fP (p) = 2C K1 (2 θ1 θ2 p) + (1 + p)K0 (2 θ1 θ2 p) + K−1 (2 θ1 θ2 p) ,
θ1 θ2
and
fW (w) = C{(θ1 + θ2 w)−2 + 2(1 + w)(θ1 + θ2 w)−3 + 6w(θ1 + θ2 w)−4 },
where C = θ12 θ22 (θ1 + 1)−1 (θ2 + 1)−1 , Kν (·) is the modified Bessel function of the third kind defined by
π{I−ν (x) − Iν (x)}
Kν (x) =
2 sin(νπ)
and Iν (·) is the modified Bessel function of the first kind defined by
∞
 2
k
xν 1 x
Iν (x) = ν
2 Γ (ν + 1) (ν + 1)k k! 4
k=0

with K0 (·) interpreted as the limit K0 (x) = limν→0 Kν (x).

12. Estimation

Given a random sample X1 , X2 , . . . , Xn , from the Lindley distribution (1), the method of moments (MoM) and the
maximum likelihood (ML) estimators of the parameter θ are the same and is given by

2
−(X̄ − 1) + (X̄ − 1) + 8X̄
θ̂ = , X̄ > 0.
2X̄
The following theorem shows that the estimator of θ is biased.
Theorem 3. The estimator θ̂ of θ is positively biased, i.e. E{θ̂} − θ > 0.
Proof. Let
θ̂ = g(X̄)
and

−(t − 1) + (t − 1)2 + 8t
g(t) =
2t
for t > 0. Since
 
 1 3t 3 + 15t 2 + 9t + 1
g (t) = 3 1 + 3/2
> 0,
t [(t − 1)2 + 8t]
g(t) is strictly convex. Thus, by Jensen’s inequality, we have E{g(X̄)} > g{E(X̄)}. Finally, since g{E(X̄)} = g(μ) =
g((θ + 2)/(θ(θ + 1))) = θ, we obtain E{θ̂} > θ. 
The following theorem gives the limiting distribution of θ̂.
Theorem 4. The estimator θ̂ of θ is consistent and asymptotically normal:

√ D 1
n(θ̂ − θ)→N 0, 2 .
σ
 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506 503

The large-sample 100(1 − α)% confidence interval for θ is given by

1
θ̂ ± zα/2 . √ ,
nσ̂ 2
where zα/2 is the 1 − (α/2) percentile of the standard normal distribution.

P P P
Proof. Since μ is finite, X̄→μ. Since g(t) is a continuous function at t = μ, g(X̄)→g(μ), i.e. θ̂ →θ. Since σ 2 < ∞,
by the central limit theorem, we have
√ D
n(X̄ − μ)→N(0, σ 2 ).
Also, since g(μ) is differentiable and g (μ) = 0, by the delta-method, we have
√
n(g(X̄) − g(μ))→N(0, [g (μ)] σ 2 ).
D 2

Finally, since g(X̄) = θ̂, g(μ) = θ and g (μ) = −(1/2μ2 )[1 + (1 + 3μ)/( (μ − 1)2 + 8μ)] = −(1/σ 2 ), the theorem
follows. 

Remark. For the exponential distribution, θ̂ = 1/X̄ is the maximum likelihood and the method of moments estimator
of θ. It is also biased, consistent and asymptotically normal.

Table 1
Average bias of the estimator θ̂
n θ = 0.1 θ=1 θ=9

20 0.00265 0.03068 0.41459

40 0.00118 0.01699 0.18019
60 0.00090 0.01060 0.13665
80 0.00061 0.00746 0.09073
100 0.00058 0.00570 0.07728

Table 2
Average MSE of the estimator θ̂
n θ = 0.1 θ=1 θ=9

20 0.00028 0.03335 4.25425

40 0.00013 0.01543 1.91203
60 0.00009 0.01024 0.22017
80 0.00007 0.00752 0.90044
100 0.00005 0.00590 0.70490

Table 3
Coverage probability of the simulated confidence intervals
1−α n θ = 0.1 θ=1 θ=9

0.90 20 0.901 0.906 0.910

40 0.904 0.907 0.902
60 0.903 0.900 0.900
80 0.898 0.900 0.902
100 0.902 0.901 0.900
0.95 20 0.950 0.948 0.957
40 0.954 0.950 0.954
60 0.952 0.950 0.949
80 0.947 0.952 0.953
100 0.951 0.952 0.951
504 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506

Table 4
Waiting times (min) of 100 bank customers
0.8 0.8 1.3 1.5 1.8 1.9 1.9 2.1 2.6 2.7
2.9 3.1 3.2 3.3 3.5 3.6 4.0 4.1 4.2 4.2
4.3 4.3 4.4 4.4 4.6 4.7 4.7 4.8 4.9 4.9
5.0 5.3 5.5 5.7 5.7 6.1 6.2 6.2 6.2 6.3
6.7 6.9 7.1 7.1 7.1 7.1 7.4 7.6 7.7 8.0
8.2 8.6 8.6 8.6 8.8 8.8 8.9 8.9 9.5 9.6
9.7 9.8 10.7 10.9 11.0 11.0 11.1 11.2 11.2 11.5
11.9 12.4 12.5 12.9 13.0 13.1 13.3 13.6 13.7 13.9
14.1 15.4 15.4 17.3 17.3 18.1 18.2 18.4 18.9 19.0
19.9 20.6 21.3 21.4 21.9 23.0 27.0 31.6 33.1 38.5

13. Simulation study

Since the equation F (x) = u, where u is an observation from the uniform distribution on (0, 1), cannot be solved
explicitly in x, the inversion method for generating random data from the Lindley distribution fails. However, we can
use the fact that the Lindley distribution is a special mixture of Exponential(θ) and Gamma(2, θ) distributions:
f (x) = pf1 (x) + (1 − p)f2 (x), x > 0, θ > 0,
where p = θ/(θ + 1), f1 (x) = θ e−θx and f2 (x) = θ 2 xe−θx . To generate random data Xi , i = 1, . . . , n from the Lindley
distribution with parameter θ we have the following algorithm:

1. Generate Ui ∼ Uniform(0, 1), i = 1, . . . n.

Fig. 5. P– P plots for the fits of the exponential distribution (top) and the Lindley distribution (bottom).
 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506 505

2. Generate Vi ∼ Exponential(θ), i = 1, . . . n.
3. Generate Wi ∼ Gamma(2, θ), i = 1, . . . n.
4. If Ui ≤ p = θ/(θ + 1), then set Xi = Vi , otherwise, set Xi = Wi , i = 1, . . . n.

A simulation study was carried out N = 10, 000 times for selected values of (n, θ), see Tables 1–3 . The following
measures were computed:

(i) Average bias of the simulated estimates θ̂i , i = 1, 2, . . . , N:

1
N
(θ̂i − θ).
N
i=1

(ii) Average mean square error (MSE) of the simulated estimates θ̂i , i = 1, 2, . . . , N:

1
N
2
(θ̂i − θ) .
N
i=1

(iii) Coverage probability taken to be the proportion of the N simulated confidence intervals which include the parameter
θ.

Fig. 6. Q– Q plots for the fits of the exponential distribution (top) and the Lindley distribution (bottom).
506 M.E. Ghitany et al. / Mathematics and Computers in Simulation 78 (2008) 493–506

Remarks.

(i) Table 1 shows positive bias as shown in Theorem 3. The table also shows that the bias decreases (increases) as
n(θ)increases.
(ii) Table 2 shows that the MSE decreases (increases) as n(θ) increases.
(iii) Table 3 shows that the coverage probability is very close to the intended significance level 1 − α for all values of
n and θ.

14. Application

In this section, we use a real data set to show that the Lindley distribution can be a better model than one based on
the exponential distribution. The data set given in Table 4 represents the waiting times (in minutes) before service of
100 bank customers.
We fitted both the Lindley and exponential distributions to this data set. The method of maximum likelihood was
used. We obtained the estimates θ̂ = 0.187 with S.E.(θ̂) = 0.013 for the Lindley distribution and θ̂ = 0.101 with
S.E.(θ̂) = 0.010 for the exponential distribution. The maximized log-likelihoods for the two models were −319.0 and
−329.0, respectively. Since the two models have the same number of parameters, it follows that the Lindley distribution
provides the better fit. A further support for this finding can be obtained by inspecting the probability–probability (P–
P) and quantile–quantile (Q– Q) plots. A P– P plot depicts the points: (F (x(i) ; θ̂), Fn (x(i) )), i = 1, 2, . . . n, where
x(i) are the order statistics, Fn (x) = (1/n) ni=1 I(X ≤ x) is the empirical distribution function and I(·) is the indicator
function. A Q– Q plot depicts the points: (F −1 (i/(n + 1); θ̂), x(i) ), i = 1, 2, . . . n. The P– P and Q– Q plots for the
two fitted models are shown in Figs. 5 and 6. It is evident that the fit of the Lindley distribution is better.

Acknowledgments

The authors would like to thank the Editor and the referee for carefully reading the paper and for their comments
which greatly improved the paper.

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