Int. Journal of Math. Analysis, Vol. 4, 2010, no.

29, 1417 - 1431

Classical and Bayesian Estimations on the

Generalized Exponential Distribution Using

Censored Data

Masoud Yarmohammadi

Payame Noor University of Tehran, Iran

masyar@pnu.ac.ir

Hassan Pazira

Payame Noor University of Tehran, Iran

Pazira.b@gmail.com

Abstract

In this paper, we obtain Bayesian and non-Bayesian estimators for the shape
parameter, reliability and failure rate functions of the Generalized-Exponential
distribution in the case of complete and type-II censored samples. The Bayes
estimators are obtained using symmetric and asymmetric loss functions.
Comparisons are made between these estimators using Monte-Carlo simulation
study.

Keywords: Generalized-Exponential; Bayesian estimation; Maximum

Likelihood function; LINEX loss function; Precautionary loss function;
Reliability; Failure rate; Type-II censoring data; simulation
1418 M. Yarmohammadi and H. Pazira

1. Introduction
Recently a new distribution, called Generalized-Exponential (GE)
distribution, has been introduced. This distribution can be used quite
effectively in situations where a skewed distribution is needed. It has been
studied extensively by Gupta and Kundu (1999, 2001a, 2001b, 2002, 2003a,
2003b, 2004), Raqab (2002), Raqab and Ahsanullah (2001), Zheng (2002) and
Kundu, Gupta and Manglick (2004). Singh et al. (2008) estimated the
parameters of this distribution under some symmetric and asymmetric loss
functions using Lindley's approximation technique. Note that the generalized
exponential distribution is a sub-model of the exponentiated Weibull
distribution introduced by Mudholkar and Srivastava (1993) and later studied
by Mudholkar, Srivastava and Freimer (1995) and Mudholkar and Hutson
(1996).
We say that the random variable T has a Generalized Exponential
distribution if T has the density f (t ;θ ) , i.e.,

f (t ; θ ) = θ e− t (1 − e− t )θ −1 ; t > 0 , θ > 0, (1.1)

and the corresponding distribution function is

F (t ; θ ) = (1 − e − t ) θ ; t > 0 , θ > 0 . (1.2)

The reliability and failure rate functions of GE( θ ) distribution are given
respectively, by

R (t ) = 1 − (1 − e − t ) θ ; t > 0 , θ > 0, (1.3)

and
(
H (t ) = θ e − t (1 − e − t )θ −1 1 − (1 − e −t )θ ) −1
; t > 0 , θ > 0.
(1.4)
Since lifetime data are often censored, in this paper, Bayesian and non-
Bayesian estimators were derived for the shape parameter, reliability and
failure rate functions under complete and type-II censored samples from GE
distribution.
The density functions of the generalized exponential distribution can take
different shapes. For θ ≤ 1 , it is a decreasing function and for θ > 1 , it is a
unimodal, skewed, right tailed similar to the weibull or gamma density
function. It is observed that even for very large shape parameter ( θ ), it is not
symmetric. For this density function (1.1), the mode is at logθ for θ > 1 and
for θ ≤ 1 , the mode is at 0. It has the median at − ln (1 − θ 0.5 ) . The mean, median
and mode are non-linear functions of the shape parameter θ and as this
parameter goes to infinity all of them tend to infinity. For large values of θ , the
mean, median and mode are approximately equal to θ but they converge at
different rates. Figure 1 shows the shape of f ( x ;θ ) for different values of θ .
Classical and Bayesian estimations 1419

Figure 1: pdf of GE( θ ) for different values of θ .

In Bayesian estimation, we consider three types of loss functions. The first

is the squared error loss function which is classified as a symmetric function
and associates equal importance to the losses for overestimation and
underestimation of equal magnitude, and with respect to it, the posterior mean
is used to estimate θ , say θˆ S , since it minimizes the posterior expected loss,
i.e., E [(θˆ − θ ) 2 | t ] . The second is the Precautionary loss function which is
asymmetric, was introduced by Norstrom (1996), i.e.,
(θˆ − θ ) 2
L (θˆ, θ ) = .
θˆ
The Bayes estimator under this asymmetric loss function is denoted by θˆ P
and may be obtained by solving the following equation, (see Norstrom, 1996),

θˆP2 = E (θ 2 | t ) . (1.5)
Then, we use the LINEX loss function which is asymmetric, was introduced
by Varian (1975). This loss function was widely used by several authors;
among of them Basu and Ebrahimi (1991), Pandey (1997), Soliman (2000) and
Nassar and Eissa (2004). The LINEX loss function may be expressed as

L (Δ) ∝ ecΔ − cΔ − 1 , c ≠ 0 , (1.6)

where Δ = θˆ − θ . The sign and magnitude of the shape parameter c reflects the
direction and degree of asymmetry, respectively. (If c > 0 , the overestimation
is more serious than underestimation, and vice-versa). For c closed to zero, the
LINEX loss is approximately squared error loss and therefore almost
symmetric. The posterior expectation of the LINEX loss function equation
(1.6) is

E [ L(θˆ − θ ) | t ] ∝ ecθ E [e−cθ | t ] − c(θˆ − E [θ | t ]) − 1 ,

ˆ
(1.7)
1420 M. Yarmohammadi and H. Pazira

where E [. | t ] denoting posterior expectation with respect to the posterior

density of θ . By a result of Zellner (1986), the (unique) Bayes estimator of θ ,
denoted by θˆL under the LINEX loss is the value θˆ which minimizes (1.7), is
given by

θˆ L = − ln (E [e −cθ | t ]),
1
(1.8)
c
provided that the expectation E [e −cθ | t ] exists and is finite, see Calabria and
Pulcini (1996).
We were interested with maximum likelihood estimation as a classical
approach among non-Bayesian methods. The maximum likelihood is based on
the information provided by empirical data. The invariant property was hold to
obtain maximum likelihood estimators (MLE’s) of reliability and failure rate
functions.
In this paper, a discussion of the MLE’s is considered in section 2. In
section 3, Bayesian estimators are obtained. Also, numerical illustration and
comparisons are presented in section 4. Finally, our conclusion is stated in
Section 5.

2. Maximum Likelihood Estimation

Suppose a type-II censored sample t = (t1 , t 2 , K , t r ) where ti is the i th order

statistics. This sample are obtained and recorded from GE (θ ) distribution with
p.d.f. and c.d.f. given, respectively, by (1.1) and (1.2). The likelihood function
(LF) in this case can be written as:

(
l(t ;θ ) ∝ θ r e −θT 1 − V θ )
n−r
(2.1)
where
( )
r
T = −∑ ln 1 − e −ti
−t ( r )
and V = 1 − e .
i =1
The logarithm of the LF is given by

L = ln l(t ;θ ) ∝ r ln θ − θT + (n − r ) ln (1 − V θ ). (2.2)

The MLE of θ , denoted by θ M , is given by

^

r
θˆM = −1
. (2.3)
T + (n − r )⎛⎜V −θ M − 1⎞⎟ ln V
^

⎝ ⎠
Classical and Bayesian estimations 1421

This equation is in implicit form, so it may be solved by using numerical

iteration such as Newton-Raphson method by using MATLAB. For a given, t
the MLE’s of R(t ) may be obtained by replacing θ by θ M in Equation (1.3),
^

then MLE’s of H (t ) = − ln R(t ) can be obtained.

3. Bayesian Estimation

The natural family of conjugate prior for θ is a gamma distribution with

p.d.f.

δ ν V −1 −δθ
g (θ ) = θ e , θ > 0,ν > 0, δ > 0. (3.1)
Γ(ν )
From which the prior mean and variance of θ are given, respectively, by
ν δ and ν δ 2 . Applying Bayes theorem, we obtain from Equations (2.1) and
(3.1), the posterior density of θ as

g (θ t ) =
(δ + T )r +ν r +ν −1 −θ (T +δ )
θ e (
1−V θ ) , θ
n−r
> 0,ν > 0, δ > 0, (3.2)
kΓ(r + ν )

where
n− r − (r +v )
⎛ jp ⎞
k = ∑ w( j )⎜1 − ⎟ , (3.3)
j =0 ⎝ δ +T ⎠

⎛n − r⎞ − t( r )
w( j ) = (−1) j ⎜⎜ ⎟⎟ , p = ln V and V =1− e (3.4)
⎝ j ⎠

Estimation of θ :
The Bayes estimate θˆS of θ relative to squared error loss function is given
by

r+v
θˆS = ξ1 , (3.5)
k (δ + T )
where

n−r − ( r + v +1)
⎛ jp ⎞
ξ1 = ∑ w( j )⎜1 − ⎟ .
j =0 ⎝ δ +T ⎠
Under Precautionary loss function, the Bayes estimate θˆP of θ using
Equation (1.5) can be obtained as
1422 M. Yarmohammadi and H. Pazira

⎛ (r + v + 1)(r + v ) ⎞
12

θˆP = ⎜⎜ ξ 2 ⎟⎟ (3.6)
⎝ k (δ + T )
2
⎠
where
n−r −(r +v + 2 )
⎛ jp ⎞
ξ 2 = ∑ w( j )⎜1 − ⎟ .
j =0 ⎝ δ +T ⎠
Under LINEX loss function, the Bayes estimate θˆL of θ using Equation
(1.8) can be obtained as

1
θˆL = − ln ξ 3 , c ≠ 0 (3.7)
c
where
− (r +v )
⎛ c − jp ⎞
n− r
ξ 3 = k ∑ w( j )⎜1 +
−1
⎟ .
j =0 ⎝ δ +T ⎠

Estimation of R(t ) :
Consider the reliability R = R(t ) is a parameter itself. Replacing θ in terms
of R by that of Equation (3.2), we obtain posterior density function of R as

Q r +ν
g (R t ) = k −1

Γ(r + ν )
(
[ϕ1 (R )]r +ν −1 e −(Q −1)ϕ1 (R ) 1 − V Zϕ1 (R ) )
n−r
, 0 < R < 1, (3.8)

where
Q = Z (δ + T ), ϕ1 (R ) = ln (1 − R )
−1 1
. and Z =
(3.9)
ln 1 − e −t
−1
( )
Assuming the quadratic loss is appropriate, the Bayes estimate of the
reliability function R is
n−r
Rˆ S = k −1 ∑ w( j )(ξ 4 − ξ 5 ), (3.10)
j =0

where
− ( r +v ) − (r +v )
⎛ jpZ ⎞ ⎛ jpz − 1 ⎞
ξ 4 = ⎜⎜1 − ⎟ , ξ 5 = ⎜⎜1 − ⎟ ,
⎝ Q ⎟⎠ ⎝ Q ⎟⎠

and k and w( j ) are given, respectively, by (3.3) and (3.4).

Under Precautionary loss function, the Bayes estimate of R using Equation
(1.5) is

12
⎡ n− r ⎤
, Rˆ P = ⎢k −1 ∑ w( j )(ξ 4 − 2ξ 5 + ξ 6 )⎥ (3.11)
⎣ j =0 ⎦
Where
Classical and Bayesian estimations 1423

− (r +v )
⎛ jpZ − 2 ⎞
ξ 6 = ⎜⎜1 − ⎟ .
⎝ Q ⎟⎠

Under LINEX loss function, the Bayes estimate of R using Equation (1.8)
is

1
, Rˆ L = 1 − ln ξ 7 , c ≠ 0 (3.12)
c
where

− (r +v )
∞
c i n− r ⎛ i − jpZ ⎞
ξ 7 = k ∑ ∑ w( j )⎜⎜1 +
−1
⎟ .
i =0 i! j =0 ⎝ Q ⎟⎠

Estimation of H (t ) :
To derive the Bayes estimate of the cumulative failure rate function
H (t ) = − ln R(t ) , we first obtain the posterior density function of H = H (t ) ,
which can be given by

Q r +v e− H
(3.13) g (H t ) = k −1
Γ(r + v ) 1 − e −H
(
[ϕ 2 (H )] r +v−1 e −(Q )ϕ2 (H ) 1 − V Zϕ2 (H ) ) n−r
, H >0

where
ϕ 2 (H ) = ln (1 − e − H ) .
−1

The Bayes estimate of H relative to quadratic loss is

Q r +ν
Hˆ S = k −1 G1 , (3.14)
Γ(r + ν )
where
∞
(
G1 = ∫ ln 1 − e − x )−1
(
x r +ν −1e −Qx 1 − V Zx ) n−r
dx.
0

By using the binomial theorem and logarithmic series, after some

simplification we obtain

n−r ∞
j ⎛n − r⎞ Γ(r + ν )
G1 = ∑∑ (− 1) ⎜⎜ ⎟⎟ .
⎝ j ⎠ i(Q + i − jZp )
r +ν
j = 0 i =1

When the Precautionary loss function is appropriate, the Bayes estimate of

H is
1424 M. Yarmohammadi and H. Pazira

12
⎛ k −1Q r +ν ⎞
Hˆ P = ⎜⎜ G2 ⎟⎟ , (3.15)
⎝ Γ(r + ν ) ⎠
where

( )x
∞
(
G2 = ∫ ln 1 − e − x )
−1 2 r +ν −1 −Qx
e (1 − V )Zx n − r
dx.
0

By using the binomial theorem, after some simplification we obtain

n−r ∞ ∞
j ⎛n − r⎞ Γ(r + ν )
G 2 = ∑∑∑ (− 1) ⎜⎜ ⎟⎟ .
⎝ j ⎠ il (i + l + Q − jZp )
r +ν
j = 0 i =1 l =1

When the LINEX loss function is appropriate, the Bayes estimate of H is

1 ⎛ k −1Q r +ν ⎞
Hˆ L = − ln ⎜⎜ G3 ⎟⎟, c ≠ 0, (3.16)
c ⎝ Γ(r + ν ) ⎠
where
∞
(
G3 = ∫ (1 − e − x ) c x r +ν −1e −Qx 1 − V Zx )
n−r
dx.
0

By using the binomial theorem, after some simplification we obtain

n−r c
i+ j ⎛ n − r ⎞ ⎛ c ⎞ Γ(r + ν )
G3 = ∑∑ (− 1) ⎜⎜ ⎟⎟ ⎜⎜ ⎟⎟ r +ν .
j =0 i =0 ⎝ j ⎠ ⎝ i ⎠ (i + Q − jZp )

4. Simulation Study
We obtained, in the above Sections, Bayesian and non-Bayesian estimates
for the shape parameter θ , reliability, R(t ) , and failure rate, H (t ) , functions
of the GE (θ ) distribution. We adopted the squared error loss, Precautionary
and LINEX loss functions. The MLE’s are also obtained.
In order to assess the statistical performances of these estimates, a
simulation study is conducted. The mean square errors (MSE’s) using
generated random samples of different sizes are computed for each estimator.
The random samples are generated as follows:

1. For given values of the prior parameters (ν , δ ) , generate a random value

for θ from the gamma distribution whose density function given by Equation
(3.1).
2. Using θ , obtained in step (1), and generate random samples of different
sizes: n=15, 25 and 50 from the GE (θ ) distribution by MATLAB. The
Classical and Bayesian estimations 1425

computations are carried out for such sample sizes and censored samples of
sizes: 12, 20 and 40, respectively.
3. The MLE of the parameter θ , θˆM is obtained by iteratively solving the
Equation (2.3). The estimators Rˆ (t ) and Hˆ (t ) of the functions R(t ) and
M 0 M 0

H (t ) are then computed at some values t 0 .

4. The Bayes estimates relative to squared error loss, θˆS , R̂S and Ĥ S given,
respectively, by Equations (3.5), (3.10) and (3.14), relative to Precautionary
loss θˆP , R̂P and Ĥ P given, respectively, by Equations (3.6), (3.11) and (3.15),
and relative to LINEX loss θˆL , R̂L and Ĥ L given, respectively, by Equations
(3.67), (3.12) and (3.16), are all computed.
5. The above steps are repeated 2000 times and the biases and the mean
square errors are computed for different sample sizes n and censoring sizes r,
where the had-symbol ^ stands for an estimate (ˆ⋅ )M , (ˆ⋅ )S , (ˆ⋅ )P and (ˆ⋅ )L .

The computational (our) results were computed by using MATLAB. In all

above cases the prior parameters chosen as ν = 2 and δ = 1 , which yield the
generated value of θ = 2.0091 as the true value. The true values of R (t ) and
H (t ) , when t = t 0 = 0.5 are computed to be R(0.5) = 0.8465 and
H (0.5) = 0.1666 . The biases (first entries) and MSE’s (second entries) are
displayed in Tables 1-3 and also Figure 1-6. The computations are achieved
under complete and censored samples.

Table 1. Bias and MSE of different estimators of θ , for different sample size.

n r Criteria θˆM θˆS θˆP θˆL

cC
1 5

15 12 Bias 0.710801 0.557388 0.631815 0.372987 -0.109892

MSE 1.298062 0.735147 0.848629 0.465466 0.141412

15 15 Bias 0.139756 0.114455 0.176021 -0.025015 -0.361207

MSE 0.348034 0.273225 0.306410 0.205198 0.229476

25 20 Bias 0.602976 0.531892 0.575537 0.403661 -0.057112

MSE 0.754561 0.569266 0.632597 0.442060 0.129792

25 25 Bias 0.071022 0.063518 0.101551 -0.016067 -0.265136

MSE 0.194279 0.162470 0.174617 0.137483 0.147075

50 40 Bias 0.573894 0.118049 0.154985 0.396812 -0.086910

MSE 0.492316 0.198653 0.215915 0.157470 0.078295

50 50 Bias 0.043593 0.032285 0.051820 -0.003071 -0.154507

MSE 0.090521 0.080230 0.083396 0.077669 0.078589
1426 M. Yarmohammadi and H. Pazira

Figure 1. MSE's of the estimators θˆM , θˆS , θˆP and θˆL in the case of complete samples.

Figure 2. MSE's of the estimators θˆM , θˆS , θˆP and θˆL in the case of type-II censored samples.
Table 2. Bias and MSE of different estimators of R (t ) , for different sample size.
n r Criteria R̂M R̂S R̂P R̂L
CC
1 5

15 12 Bias 0.052021 0.023152 0.025474 0.029102 0.023732

MSE 0.006629 0.003219 0.003231 0.004605 0.004390

15 15 Bias 0.001356 -0.012304 -0.009266 -0.016935 -0.028653

MSE 0.004715 0.003114 0.002938 0.004226 0.005413

25 20 Bias 0.052525 0.034291 0.035398 0.040124 0.036750

MSE 0.005221 0.003008 0.003065 0.004440 0.004134

25 25 Bias 0.001254 -0.008002 -0.006125 -0.007192 -0.009558

MSE 0.003069 0.002466 0.002381 0.002615 0.003004

50 40 Bias 0.057430 0.018409 0.010232 0.091630 0.069268

MSE 0.004450 0.002762 0.002808 0.003653 0.003288

50 50 Bias 0.000615 -0.004890 -0.003927 -0.006754 -0.008082

MSE 0.001598 0.001491 0.001464 0.001485 0.001526
Classical and Bayesian estimations 1427

Figure 3. MSE's of the estimators R̂M , R̂S , R̂P and R̂L in the case of complete samples.

Figure 4. MSE's of the estimators R̂M , R̂S , R̂P and R̂L in the case of type-II censored samples.
Table 3. Bias and MSE of different estimators of H (t ) , for different sample size.
n r Criteria Ĥ M Ĥ S Ĥ P Ĥ L
CC
1 5

15 12 Bias 0.236868 -0.030239 -0.011673 -0.034307 -0.044606

MSE 0.087480 0.005532 0.005070 0.005843 0.005683

15 15 Bias 0.384123 0.022654 0.042768 0.018362 0.003374

MSE 0.167478 0.007048 0.008626 0.005843 0.005056

25 20 Bias 0.244047 -0.028346 -0.016611 -0.040458 -0.053174

MSE 0.079655 0.003492 0.003169 0.004175 0.003721

25 25 Bias 0.380434 0.016750 0.029496 0.013284 0.003206

MSE 0.167140 0.004340 0.005037 0.003989 0.003474

50 40 Bias 0.237578 -0.065233 -0.065048 -0.057388 -0.036815

MSE 0.066164 0.002402 0.002041 0.003588 0.003115

50 50 Bias 0.377710 0.011701 0.018362 0.007998 0.001404

MSE 0.159514 0.002114 0.002369 0.002239 0.001939
1428 M. Yarmohammadi and H. Pazira

Figure 5. MSE's of the estimators Ĥ M , Ĥ S , Ĥ P and Ĥ L in the case of complete samples.

Figure 6. MSE's of the estimators Ĥ M , Ĥ S , Ĥ P and Ĥ L in the case of type-II censored samples.

5. Conclusion
In this paper, we have presented the Bayesian and non-Bayesian estimates
of the shape parameter θ , reliability, R (t ) , and failure rate, H (t ) , functions of
the lifetimes follow the GE (θ ) distribution. The estimations are conducted on
the basis of complete and type-II censored samples. Bayes estimators, under
squared error, Precautionary and LINEX loss functions, are derived. The
MLE’s are also obtained. Our observations about the results are stated in the
following points:

1- Table 1 shows that the Bayes estimates under the LINEX loss function
have the smallest estimated MSE's as compared with the estimates under
Precautionary loss function, squared error loss function or MLE's. This is true
for both complete and censored samples, see figures 1 and 2. It is immediate to
note that MSE's decrease as sample size increases. On the other hand, for
Classical and Bayesian estimations 1429

complete sample, the Bayes estimates under the LINEX loss function are
underestimation, but MLE's and the Bayes estimates under Precautionary and
squared error loss function are overestimation. For censored sample, the Bayes
estimates under the LINEX loss function, for large loss parameter, are
underestimation, but the rest are overestimation.
2- Table 2 shows that the Bayes estimates under the Precautionary loss
function have the smallest estimated MSE's as compared with the estimates
under LINEX loss function, squared error loss function or MLE's. This is true
for complete samples, see figures 3. For censored samples, the Bayes estimates
under the Squared error loss function have the smallest estimated MSE's as
compared with the rest, however the Bayes estimates under Precautionary and
Squared error loss functions are almost equal, see figures 4. It is immediate to
note that MSE's decrease as sample size increases. On the other hand, for
complete sample, the Bayes estimates under the LINEX, Precautionary and
squared error loss functions are underestimation, but MLE's are overestimation.
For censored sample, all the estimates are overestimation.
3- Table 3 shows that the Bayes estimates under the LINEX loss function
have the smallest estimated MSE's as compared with the estimates under
Precautionary loss function, squared error loss function or MLE's. This is true
for complete samples, see figures 5. For censored samples, the Bayes estimates
under the Precautionary loss function have the smallest estimated MSE's as
compared with the rest, see figures 6. It is immediate to note that MSE's
decrease as sample size increases. On the other hand, for censored sample, the
Bayes estimates under the LINEX, Precautionary and squared error loss
functions are underestimation, but MLE's are overestimation. For complete
sample, all the estimates are overestimation.

From the previous observations, we suggest to use Bayes approach under

LINEX loss function for estimating the shape parameter of Generalized
Exponential (GE) distribution, while the Bayes approach under Precautionary
loss function is better for the reliability and failure rate functions.

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Received: October, 2009