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International Journal of Advanced Research in Engineering and Technology (IJARET), ISSN 0976
6480(Print), ISSN 0976 6499(Online) Volume 4, Issue 7, November December (2013), IAEME
258

MOMENT PROPERTIES OF TWO MAXIMUM LIKELIHOOD
ESTIMATORS OF THE MEAN OF TRUNCATED EXPONENTIAL
DISTRIBUTION

Faris M. Al-Athari

Professor and Head, Department of Mathematics, Faculty of Science and
Information Technology, Zarqa University, Jordan

ABSTRACT

Properties of two types of maximum likelihood estimators of the mean of truncated
exponential distribution are presented in this article. The estimators include those based on truncated
and non- truncated exponential data. The Monte Carlo method with the help of MATLAB version
6.5, based on 50,000 trials for each alternative, is used to evaluate the moment properties of the
estimators. The simulated variances and mean- squared errors of the estimators are compared with
each other and with Cramer Rao lower bounds. The results for the truncation points = 0.05, 0.25,
0.5, 1.0(1.5)10.0 and sample sizes n = 20, 30, 50, 100, 200 indicate that the maximum likelihood
estimator based on the random sample from the exponential population is always more efficient than
the maximum likelihood estimator that based on the random sample from the truncated exponential
population.

KEYWORDS: Truncated Exponential; Maximum Likelihood; Fisher Information; Asymptotic
Relative Efficiency; Simulation Technique.

1. INTRODUCTION

Frequently, in engineering and other scientific disciplines, an estimate is desired of the mean
among the elements of the population belonging to a certain group. For example, in life testing
problems, separate estimate for the life time mean might be required for bulbs of certain quality of
the survival times. In this case, the survival times are limited to be less than b and might follow a
truncated exponential distribution. Besides, the exponential distribution is very important and widely
used distribution in statistics, engineering and in the field of life- testing (see [1] and [2]). In such
estimation, the intuition suggests that the proper approach is to specify a model for that part of the
population, obtain a sample from that part of the population and proceed with standard statistical
INTERNATIONAL JOURNAL OF ADVANCED RESEARCH IN ENGINEERING
AND TECHNOLOGY (IJARET)

ISSN 0976 - 6480 (Print)
ISSN 0976 - 6499 (Online)
Volume 4, Issue 7, November - December 2013, pp. 258-265
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IJARET
I A E M E
259

methods. There are different approaches for sampling selection from a subset of a larger population
(see [3] pp. 551- 560, and [4] pp. 199- 206).
This paper deals with two different maximum likelihood estimators for the mean of the truncated
exponential distribution. The maximum likelihood estimation using a sample from the (complete)
exponential distribution is compared to the case where a sample from the truncated exponential
distribution is available. The Monte Carlo simulation is used to evaluate the variances, the mean-
squared errors of the estimators. The relative and the asymptotic relative efficiencies of the
estimators are considered. The Fisher information for the two sampling methods is given. It turns out
that sampling from an exponential distribution is more efficient than sampling from a truncated
exponential distribution in estimating the truncated exponential population mean, and the sample
from the exponential distribution carry more information about the mean than the sample from the
truncated exponential distribution. The results of large scale simulation investigations evaluating the
moment properties of the estimators are presented for the case of truncation from right.

2. THE TRUNCATED EXPONENTIAL DISTRIBUTION

Let X be a random variable with parameterized probability density function (p.d.f.) ) (.; f
and cumulative distribution function (c.d.f.) ) (.; F , where is a vector of parameters. Then the
p.d..f, ) ; y ( g , of X conditional on a<X<b is simply defined by

) 1 ( ...
) ; a ( F ) ; b ( F
) y ( I ) ; y ( f
) ; y ( g
) b , a (

=

The case b= corresponds to truncated only from left and the case a= - corresponds to
truncation only from right (see [3] p.559). As special case, if X is a random variable with
exponential p.d.f. of mean , the p.d.f. of Y, the truncated version of X truncated on the right at b, is
given by

) 2 ( ...
) e (1
(y) I e
) g(y;
-
b) (0,
/ y

where
=
b
.
The truncated exponential distribution can occur in a variety of ways. It may directly seem to
be a good fit as a distribution for a given available data set, or it may result from the type of
sampling used when the underlying distribution is assumed to follow the exponential distribution
(see [5]-[6]). Generally, the truncated distributions are very important and widely used in statistics.
[7]- [12], among others, treated the truncated distributions in different disciplines.

3. MEAN AND VARIANCE

To find the mean, ) b , ( , of the truncated exponential distribution given in equation (2), we
have,

) 3 ( ) 1 e ( b ) b , (
1
=

by using the integration by parts technique [13].
260

Similarly, the variance ) b , (
2
of the truncated exponential distribution is given by
) 4 ...(
) 1 e (
e b
) b , (
2
2
2 2

By using the fact that ) b , (
2
>0, it can be shown that ) b , ( is monotonic increasing in ;
as tends to 0, the function tends to 0 and as tends to the function tends to b/2. Therefore, the
range values of ) b , ( is the open interval (0, b/2) and hence the maximum value of the likelihood
function if it exists, occurs at a stationary point and does not occur at any boundary point of the
interval (0, b/2) (see [13] p. 255).

4. MAXIMUM LIKELIHOO ESTIMATORS

Case1. Assume that
n 2 1
X ..., , X , X be a random sample taken from an exponential distribution with
mean . Now by using the maximum likelihood estimator Xof , the invariance property of the
maximum likelihood method (see [14]-[15]), and the equation (3), we find that the maximum
likelihood estimator,
1
of is given by

) 5 ( .. . ) 1 e ( b X
1 x / b
1
=

Under the regularity conditions ([16] p.194, [17] pp. 143- 144 and [18] pp. 156- 158), this
estimator is consistent, asymptotic efficient and best asymptotically normal with mean and,
asymptotic variance, avar(
1
), attains the Cramer Rao lower bound.

Case 2. Assume that
n 2 1
Y ..., , Y , Y be a random sample of size n taken from the truncated
exponential distribution given by equation (2). The likelihood function, say L
2
, is

) 6 ( ) y n exp( ) e 1 ( L
1 n n
2

=

where y is the sample mean. It follows

[ ] ) 7 ( / ) y ( ) 1 e ( e 1 n / 1 L log
2
1
2 2
=

It can be shown that 1 ) 1 e ( e 1 0
2 2
< <

and hence when , 2 / b y 0 < < the maximum
value of L
2
occurs at a stationary point . y Clearly y is the unique maximum likelihood estimator of
when . 2 / b y 0 < < When 2 / b y , the likelihood function L
2
does not have a maximum.
Therefore, the proper definition of the maximum likelihood estimator of is:

) 8 ...(
2 / b Y if exist not does
2 / b Y if Y
>
=

This estimator is also consistent, asymptotic efficient and best asymptotically normal with
mean and, asymptotic variance, avar (
2
), attains the Cramer Rao lower bound.
261

5. ASYMPTOTIC VARIANCES OF THE ESTIMATORS

The asymptotic variance, avar (
1
), of
1
is the reciprocal of the Fisher information
2 2
1
2
1
) / ( ) / L Log ( E I

= , where L
1
is the likelihood function of the exponential p.d.f.

Thus:

avar (
1
) = ) 9 ( n / ] ) 1 e ( e 1 [
2 2 2 2

Similarly, the asymptotic variance, avar (
2
), of
2
is:

avar (
2
) = ) 10 ( n / ] ) 1 e ( e 1 [
2 2 2

For the comparison issue, the asymptotic relative efficiency of
2
relative to
1
can easily be found
by using equations (9) and (10) such that

ARE (
2
,
1
) = ) 11 ( ) 1 e ( e 1
2 2

Which is less than or equal to 1 and converges to 1 as .

6. SOME PROPERTIES OF THE ESTIMATORS

Property: Let
n 2 1
Z ..., , Z , Z be a random sample from either the exponential or the truncated
exponential distribution, then for any positive real number a and and b with i=1, 2:

) b , Z ..., , Z , Z (
a
1
)
a
b
,
a
Z
..., ,
a
Z
,
a
Z
( ) a (
n 2 1 i
n 2 1
i
=

)) b , Z ..., , Z , Z ( ( var
a
1
))
a
b
,
a
Z
..., ,
a
Z
,
a
Z
( ( var ) b (
n 2 1 i
2
n 2 1
i
=

( ) ) b , Z ..., , Z , Z ( B
a
1
)
a
b
,
a
Z
..., ,
a
Z
,
a
Z
( B ) c (
n 2 1 i
n 2 1
i
= |
\
|

where ) b , Z ..., , Z , Z (
n 2 1 i
and ( ) ) b , Z ..., , Z , Z ( B
n 2 1 i
are the MLEs of ) b , ( and their biases
based on the observations
n 2 1
Z ..., , Z , Z .

Theorem: For any fixed value
=
b
, the relative efficiency of
2
with respect to
1
is free of .
Proof: It is known that the relative efficiency of
2
with respect to
1
is defined as the ratio of the
mean- squared errors and is given by

) 12 (
)) b , Y ..., , Y , Y ( ( MSE
)) b , X ..., , X , X ( ( MSE
) , ( RE
n 2 1 2
n 2 1 1
1 2
=
262

where

[ ] [ ]
[ ]
[ ]
2
n 2 1 1
2
2
n 2 1 1
2
n 2 1 1 n 2 1 1
/ ) , / X ..., , / X , / X ( E
) , / X ..., , / X , / X ( E
) b , X ..., , X , X ( E ) b , X ..., , X , X ( MSE
=
=
=

Then for any fixed value of , and letting = / X W
i i
it is clear that
[ ]
2
n 2 1 1
/ ) , / X ..., , / X , / X ( E does not depend upon .

Similarly, [ ]
2
n 2 1 2
2
n 2 1 2
/ ) , / Y ..., , / Y , / Y ( E )) b , Y ..., , Y , Y ( ( MSE =

and

[ ]
2
n 2 1 2
/ ) , / Y ..., , / Y , / Y ( E does not depend upon for any fixed value of . Hence
RE is free of .

7. SIMULATION

In order to investigate the properties and the values of the estimators
1
and
2
a large
scale simulation investigation was made for the exponential p.d.f. truncated on the right. To get
the biases, variances and the mean- squared errors of
1
and
2
numerically, the simulation
technique with the help of MATLAB is used [19]. These are computed for 50,000 samples of sizes
(n= 20, 30, 50, 100, 200) generated from the exponential and the truncated exponential distributions
byusing the quantile functions of Psudo- uniform numbers that is ) U 1 ln( X
i i
= and
) e 1 ( u 1 ln[ y
i i

= .

8. NUMERICAL RESULTS

The simulation results for the estimators are summarized in tables 1, 2, 3, and 4. Table 1
shows that the estimator
1
has lower absolute bias than the estimator
2
when 1 and has higher
absolute bias when 5 . 2 , but its bias is small and in most cases is insignificant compared to the
variance in its combination to the mean-squared error. The results show that the absolute bias is
generally too low. Tables 2 and 3 show that the estimator
1
has lower variance and mean-srared
error than the estimator
2
for all values of and n and their variances are well approximated by the
asymptotic variances given by equations (9) and (10). Table 4 gives the percentage values of the
relative efficiency and the asymptotic relative efficiency of
2
relative to
1
. It is obvious from this
table that for all sample size and all values of , the relative efficiency is less than 1 and increasing
with , and the asymptotic relative efficiency is a good approximation to the relative efficiency
even for a small sample size.

263

Table (1): Percentage values of the absolute biases of the estimators

Table (2): Percentage values of the var ) / n (
2
, the MSE ) / n (
2
and the var a ) / n (
2
of the
estimator
1
.
n=20 n=30 n=50 n=100 n=200

var MSE var MSE var MSE var MSE var MSE avar
0.05 0.5E-5 0.6E-5 0.5E-5 0.5E-5 0.5E-5 0.5E-5 0.5E-5 0.5E-5 0.4E-5 0.4E-5 0.4E-5
0.25 0.003 0.003 0.003 0.003 0.003 0.003 0.003 0.003 0.003 0.003 0.003
0.50 0.052 0.054 0.048 0.049 0.045 0.046 0.044 0.044 0.043 0.043 0.042
1.0 0.743 0.773 0.699 0.718 0.669 0.679 0.648 0.654 0.641 0.644 0.629
2.5 15.8 16.2 15.6 15.9 15.5 15.6 15.4 15.5 15.4 15.4 15.3
4.0 46.1 46.5 46.8 47.1 47.3 47.5 47.8 47.9 48.2 48.3 48.4
5.5 71.7 71.9 73.3 73.4 74.4 74.5 75.3 75.3 76.1 76.2 76.6
7.0 86.7 86.7 88.2 88.2 89.3 89.3 89.9 89.9 90.8 90.8 91.2
8.5 94.0 94.0 95.2 95.2 95.8 95.8 96.1 96.1 96.8 96.8 97.1
10 97.3 97.3 98.1 98.1 98.4 98.4 98.4 98.4 98.9 99.0 99.1

Table (3): Percentage values of the var ) / n (
2
, the MSE ) / n (
2
and the var a ) / n (
2
of the
estimator
2
.
n=20 n=30 n=50 n=100 n=200

var MSE var MSE var MSE var MSE var MSE avar
0.05 0.008 0.02 0.008 0.02 0.008 0.02 0.008 0.02 0.009 0.02 0.02
0.25 0.23 0.42 0.24 0.40 0,25 0.38 0.28 0.37 0.33 0.37 0.52
0.50 1.07 1.47 1.16 1.45 1.30 1.46 1.54 1.59 1.84 1.84 2.06
1.0 5.59 5.89 6.25 6.36 7.04 7.06 7.75 7.75 7.92 7.92 7.93
2.5 38.98 38.98 39.33 39.34 39.09 39.09 38.98 38.98 39.10 39.10 39.11
4.0 69.71 69.71 69.96 69.96 69.58 69.59 69.36 69.36 69.59 69.59 69.59
5.5 87.56 87.56 87.84 87.84 87.53 87.54 87.22 87.22 87.54 87.54 87.54
7.0 95.45 95.45 95.70 95.70 95.49 95.50 95.14 95.14 95.51 95.51 95.52
8.5 98.41 98.41 98.63 98.63 98.48 98.49 98.10 98.10 98.50 98.51 98.53
10 99.42 99.42 99.61 99.61 99.50 99.50 99.11 98.4 99.52 99.53 99.55

n=20 n=30 n=50 n=100 n=200

1

2

1

2

1

2

1

2

1

2

0.05 0.00 0.24 0.00 0.20 0.00 0.15 0.00 0.10 0.00 0.07
0.25 0.03 0.97 0.02 0.75 0.01 0.51 0.01 0.29 0.00 0.01
0.50 0.11 1.42 0.07 0.98 0.04 0.56 0.02 0.22 0.01 0.05
1.0 0.39 1.24 0.25 0.62 0.14 0.18 0.08 0.01 0.04 0.01
2.5 1.30 0.01 0.92 0.07 0.53 0.07 0.29 0.01 0.16 0.01
4.0 1.53 0.04 1.00 0.09 0.57 0.09 0.33 0.00 0.18 0.02
5.5 1.05 0.04 0.65 0.09 0.35 0.10 0.23 0.01 0.14 0.03
7.0 0.56 0.03 0.31 0.08 0.14 0.10 0.13 0.01 0.08 0.03
8.5 0.26 0.03 0.10 0.08 0.01 0.10 0.07 0.02 0.05 0.03
10. 0.10 0.02 0.00 0.08 0.05 0.10 0.04 0.02 0.04 0.03
264

Table (4): percentage values of the relative and asymptotic relative efficiency of
2
relative to
1

n

20 30 50 100 200 ARE
0.05 0.028 0.026 0.025 0.025 0.025 0.021
0.25 0.833 0.784 0.775 0.773 0.750 0.578
0.5 3.671 3.408 3.176 2.779 2.539 2.041
1.0 13.127 11.282 9.624 8.443 8.142 7.929
2.5 41.582 40.349 39.954 39.648 39.481 39.111
4.0 66.775 67.302 68.260 69.030 69.416 69.591
5.5 82.171 83.540 85.066 86.350 87.009 87.535
7.0 90.891 92.200 93.470 94.534 95.069 95.524
8.5 95.564 96.486 97.290 97.949 98.269 98.529
10.0 97.918 98.478 98.914 99.261 99.424 99.546

CONCLUSIONS

The maximum likelihood estimator using a sample from the (complete) exponential
distribution is compared to the case where a sample from the truncated exponential distribution is
considered. The simulation results turned out that the maximum likelihood estimator of the truncated
exponential distribution of a sample from the (complete) exponential distribution is more efficient
than the maximum likelihood estimator which obtained by using a sample from the truncated
exponential distribution. Moreover, this estimator is also better than the modified maximum
likelihood estimator which is mentioned by [20].

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