Bayesian and Maximum Likelihood Estimation of the Shape Parameter of Exponential Inverse Exponential Distribution: A Comparative Approach

This paper aims at making Bayesian analysis on the shape parameter of the exponential inverse exponential distribution using informative and non-informative priors. Bayesian estimation was carried out through a Monte Carlo study under 10,000 replications. To assess the effects of the assumed prior distributions and loss function on the Bayesian estimators, the mean square error has been used as a criterion. Overall, simulation results indicate that Bayesian estimation under QLF outperforms the maximum likelihood estimation and Bayesian estimation under alternative loss functions irrespective of the nature of the prior and the sample size. Also, for large sample sizes, all methods perform equally well.