Quality Reliability Eng - 2021 - Saha - Parametric Inference of The Loss Based Index CPM For Normal Distribution

Received: 6 July 2020 Revised: 12 October 2020 Accepted: 10 December 2020
DOI: 10.1002/qre.2987
RESEARCH ARTICLE
Parametric inference of the loss based index 𝒑𝒎 for normal

distribution
Mahendra Saha1 Sanku Dey2 Liang Wang3
1Department of Statistics, Central

University of Rajasthan, Bandarsindri, Abstract
Rajasthan, India The process capability index (PCI) has been introduced as a tool to aid in the
2Department of Statistics, St. Anthony’s assessment of process performance and most of the traditional PCIs performed
College, Shillong, Meghalaya, India
3
well when process follows the normal behavior. In this article, we consider a PCI,
School of Mathematics, Yunnan Normal
University, Kunming, P. R. China 𝑝𝑚 for normal random variables. The objective of this article is five fold: First,
six different methods of estimation of the PCI 𝑝𝑚 are addressed from frequentist
Correspondence
approaches and compare them in terms of their mean squared errors using exten-
Mahendra Saha, Department of Statistics,
Central University of Rajasthan, Ban- sive numerical simulations. Second, we compare three bootstrap confidence
darsindri, Rajasthan, India. intervals (BCIs) of the PCI 𝑝𝑚 including standard bootstrap, percentile boot-
Email: mahendra.saha@yahoo.com
strap, and bias-corrected percentile bootstrap. Third, Bayesian estimation is con-
Funding information sidered under four loss functions (symmetric as well as asymmetric) using nor-
National Natural Science Foundation of mal prior for location parameter and inverse gamma prior for the scale parameter
China, Grant/Award Numbers: 12061091,
11501433; China Postdoctoral Science
for the considered model. Also, we obtain highest posterior density (HPD) cred-
Foundation, Grant/Award Number: ible intervals of the PCI 𝑝𝑚 . Fourth, a new cost effective PCI, namely, 𝑝𝑚𝑐 is
2019M650260 introduced by incorporating tolerance cost function in the index 𝑝𝑚 . Fifth, the
power of the test is obtained, and Monte Carlo simulation study has been carried
out to compare the performances of the classical BCIs and HPD credible inter-
vals of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 in terms of average widths and coverage probabilities.
Finally, two real data sets have been analyzed for illustrative purposes.
KEYWORDS
Bayesian estimation, bootstrap confidence intervals, cost function, different methods of esti-
mation, normal distribution, process capability index
1 INTRODUCTION
Process capability index (PCI) is a statistical tool employed in the manufacturing industry to assess the capability of some
monitored processes. As it aids in decision making and enhancing efforts in process performance, it has received great
interest in the statistical literatures and in quality assurance works in recent years. Capability index is a function of process
parameters, namely, the mean (𝜇), the standard deviation (𝜎), the target value (𝑇), the lower specification limit (𝐿), and
upper specification limit (𝑈) of the item/subgroup quality characteristic, say, 𝑋. For a detailed study of different capability
indices, one can refer to Juran,1 Kane,2 Chan et al.,3 Pearn et al.,4 Pearn et al.,5 Kotz and Lovelace,6 Kotz and Johnson,7
Wu,8 Khadse and Khadse,9 Jin et al.,10 Chen et al.,11 and many others. The origin of PCI dates back to 1974, wherein Juran1
introduced the index 𝐶𝑝 for normal process. This was followed by other indices like 𝐶𝑝𝑘 by Kane,2 𝐶𝑝𝑚 by Hsiang and
Taguchi12 and 𝐶𝑝𝑚𝑘 by Choi and Owen13 and Pearn et al.4 All these indices have been studied or investigated based on
the assumption that a given process can be represented by a normal probability model with process mean 𝜇 and process
standard deviation 𝜎.
Qual Reliab Engng Int. 2022;38:405–431. wileyonlinelibrary.com/journal/qre © 2021 John Wiley & Sons Ltd. 405
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406 SAHA et al.
In this paper, we consider the PCI, 𝑝𝑚 which is derived by modifying the denominator of the index 𝑝 and is defined
as:
𝑈−𝐿
𝑝𝑚 = √ (1.1)
6 𝜎 + (𝜇 − 𝑇)2
2
where 𝜇 is the process mean and 𝑇 is the target value. When 𝜇 = 𝑇, 𝑝𝑚 coincides with 𝑝 . The term [𝜎2 + (𝜇 − 𝑇)2 ]
incorporates two variation components: (i) variation with respect to the process mean and (ii) deviation of the process
mean from the target value. From the definition of 𝑝𝑚 , it is easy to note that if the process variance increases (decreases)
then the denominator of Equation (1.1) will increase (decrease) and correspondingly 𝑝𝑚 will decrease (increase). Also, if
the process mean moves away from (towards to) the target value, then the denominator will increase (decrease) and 𝑝𝑚
will be decreased (increased). Evidently, 𝑝𝑚 adds an additional penalty for being off-target.
In the product life cycle, quality values will vary under different circumstances. In this regard, Jeang et al.14 pointed out
that a low quality loss (good quality) implies a high production cost (tight tolerance), while a high quality loss (poor quality)
indicates a low production cost (loose tolerance). Therefore, it is important to consider the cost tolerance in evaluating
PCIs. In this paper, we adopt the tolerance cost function as suggested by Jeang et al.,14 which is given by 𝑀 (𝑡) = 0 +
1 exp{−2 𝑡}, where 0 , 1 , 2 are the coefficients for the tolerance cost function, and 𝑡 is the process tolerance. Replacing
the denominator of 𝑝𝑚 in Equation (1.1) by total cost that is the sum of quality loss, 𝜎2 + (𝜇 − 𝑇)2 , and tolerance cost,
√
𝐶𝑀 (𝑡), that is, [6 𝜎2 + (𝜇 − 𝑇)2 + 𝑀 (𝑡)], the cost effective PCI, say, 𝑝𝑚𝑐 can be written as
𝑈−𝐿
𝑝𝑚𝑐 = √ . (1.2)
6 𝜎2 + (𝜇 − 𝑇)2 + 𝑀 (𝑡)
Point estimation and construction of CIs are the two basic estimation techniques employed by statistician and qual-
ity control engineers while monitoring a process using a PCI (see, Chan et al.3 ). Usually, the point estimator is utilized
for assessment of process performance but there is variability associated with such an estimate and also it is not very
useful in making reasonable decision on the capability of a process. In such a situation, confidence intervals (CIs) have
greater significance as they provide more information regarding the variability of the estimator. For more details, see,
Smithson.15 Hsiang and Taguchi12 first introduced the concept of construction of confidence limits for PCIs. Since then,
several researchers have developed numerous techniques for constructing CIs. In this regard, readers may refer to Peng16,17 ;
Leiva et al.18 ; Pearn et al.19,20 ; Kashif et al.21,22 ; Weber et al.23 ; Pina-Monarrez et al.24 ; Rao et al.25 ; Dey et al.26 ; Dey and
Saha27,28 ; Park et al.29 ; Saha et al.30–32 , Alomani et al.33 and the references cited therein.
Most of the existing research work on point and interval estimation for PCIs are based on traditional frequentist point
of view. However, as a power alternative approach, Bayesian point and interval estimation have been also considered
for PCIs by several authors. The justification and advantages of the use of Bayesian approaches over classical ones have
been discussed by Chan et al.,3 Cheng and Spiring34 and Shiau et al..35 With attention to the importance of the Bayesian
estimation of the PCIs, several authors have considered conventional PCIs as well as generalized PCIs under symmetric
and asymmetric loss functions using informative as well as non-informative priors. Notable among them are: Saxena and
Singh36 ; Huiming et al.37 ; Miao et al.38 ; Maiti and Saha39 ; Kargar et al.40 ; Ali and Riaz41 ; Pearn et al.42 ; Seifi and Nezhad43 ;
Saha et al.31 and many others.
The objective of this paper is five fold: First, we obtain the estimates of 𝑝𝑚 based on six different classical methods
of estimation. The methods of estimation we have used in this paper are: method of maximum likelihood (ML), method
of least squares (LS), method of weighted least squares (WLS), method of Percentile (PC), method of Cramèr-von-Mises
(CM) and maximum product of spacing (MPS). In this regard, readers may refer to the works of Dey et al.44–50 for different
distributions and for different context. The performance of the methods of estimation are demonstrated in terms of their
mean squared errors (MSEs) based on simulated samples and for different sample sizes through a simulation study. The
second objective is to obtain three bootstrap confidence intervals (BCIs) of 𝑝𝑚 based on above cited classical methods
of estimation. The performances of the BCIs are demonstrated in terms of their estimated coverage probabilities (CPs)
and average widths (AWs). The third objective is to obtain Bayes estimates (BEs) of the PCI 𝑝𝑚 under four loss functions
(symmetric as well as asymmetric loss functions) using a normal prior for the location parameter and inverse gamma for
the scale parameter of the considered model. We further obtain Bayes credible intervals and compare them with BCIs.
The fourth objective is to develop new cost effective PCI 𝑝𝑚𝑐 using a tolerance cost function in the index 𝑝𝑚 and to
assess the performance of the indices 𝑝𝑚 and 𝑝𝑚𝑐 . The fifth objective is to evaluate the power of the respective bootstrap
SAHA et al. 407
approaches using the equivalence relation between confidence interval construction and two-sided hypothesis testing.
As far as we know, there are no reports which carried out to study the PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using three BCIs based on
aforementioned classical and Bayesian methods of estimation for the normal distribution along with evaluating the power
of the respective bootstrap approaches. The study aims to develop a guideline for choosing the best method of estimation
of the indices 𝑝𝑚 and 𝑝𝑚𝑐 which we think would be of deep interest to applied statisticians and quality control engineers,
where the item/subgroup quality characteristic follows normal distribution.
The rest of the paper is organized as follows: In Section 2, we describe different classical methods of estimation (MLE,
LSE, WLSE, PCE, CME, MPSE) for the index 𝑝𝑚 . In Section 3, BCIs, namely, standard bootstrap (-boot), percentile
bootstrap (-boot), and bias-corrected percentile bootstrap ( 𝑝 -boot) based on aforementioned methods of estimation
of the PCIs 𝑝𝑚 and 𝑝𝑚𝑐 have been discussed. In Section 4, we derive the Bayes estimators of the index 𝑝𝑚 under four
loss functions using normal prior for the location parameter and inverse gamma for the scale parameter of the model.
In Section 5, a Monte Carlo simulation study has been carried out to assess the performances of the above cited classical
and Bayes estimators of the indices 𝑝𝑚 and 𝑝𝑚𝑐 in terms of their MSEs. Also, we assess the performances of different
BCIs (-boot, -boot,  𝑝 -boot) under the considered methods of estimation and Bayes credible intervals in terms of
coverage probabilities (CPs) and average widths (AWs). Besides, we have evaluated the power of the respective bootstrap
approaches. For illustrative purposes, two real data sets are analyzed in Section 6. Finally, concluding remarks are given
in Section 7.
2 ESTIMATION
Here, we describe different classical estimators, namely MLE, LSE, WLSE, PCE, CME, and MPSE for the indices 𝑝𝑚 and
𝑝𝑚𝑐 , respectively.
Let a random variable 𝑌 is said to follow normal distribution with parameter Θ = (𝜇, 𝛿) if its probability density function
(PDF), cumulative distribution function (CDF) are respectively given by
( )2
1 𝑦−𝜇
1 −
𝑓(𝑦 ∣ 𝜇, 𝛿) = √ 𝑒 2 𝛿 ; 𝑦, 𝜇 ∈ ℜ, 𝛿 > 0, (2.3)
𝛿 2𝜋
(𝑦 − 𝜇)
𝐹(𝑦 ∣ 𝜇, 𝛿) = Φ ; 𝑦, 𝜇 ∈ ℜ, 𝛿 > 0, (2.4)
𝛿
where 𝜇, 𝛿 are mean, standard deviation and Φ(∙) is the CDF of the standard normal variate. And, the quantile function
of normal distribution is given by
𝑄(𝑝 ∣ 𝜇, 𝛿) = 𝐹 −1 (𝑝 ∣ 𝜇, 𝛿); 0 < 𝑝 < 1. (2.5)
2.1 Maximum likelihood estimator
Suppose 𝑌1 , 𝑌2 , … , 𝑌𝑛 be a random sample of size 𝑛 observed from normal distribution, defined in Equation (2.3). Then,
the likelihood function of the parameters 𝜇 and 𝛿 is given as
𝑛 ( )𝑛 ( )2
∏ 1 2 −
1 ∑𝑛 𝑦−𝜇
𝐿(𝜇, 𝛿 ∣ 𝑦) = 𝑓(𝑦𝑖 , 𝜇, 𝛿) = 𝑒 2 𝑖=1 𝛿 , (2.6)
𝑖=1
2𝜋𝛿 2
The logarithm of Equation (2.6) can be expressed as
1 ∑ ( 𝑦𝑖 − 𝜇 )2
𝑛
𝑛
ln 𝐿(𝜇, 𝛿 ∣ 𝑦) = − ln(2𝜋𝛿 2 ) − . (2.7)
2 2 𝑖=1 𝛿
Therefore, the MLEs of the parameters 𝜇 and 𝛿 can be obtained by solving the following normal equations:
408 SAHA et al.
𝜕 ln 𝐿(𝜇, 𝛿 ∣ 𝑦) 𝜕 ln 𝐿(𝜇, 𝛿 ∣ 𝑦)
=0, = 0,
𝜕𝜇 𝜕𝛿
which yields
̄
𝜇̂ mle = 𝑦,
√
√ 𝑛
√1 ∑
𝛿̂mle = √ ̄ 2.
(𝑦 − 𝑦)
𝑛 𝑖=1 𝑖
Hence, using the invariant property of MLEs, the MLEs of 𝐶𝑝𝑚 and 𝐶𝑝𝑚𝑐 can be expressed as
𝑈−𝐿
̂𝑝𝑚
mle
= √ , (2.8)
6 𝛿̂mle
2
+ (𝜇̂ mle − 𝑇)2
and
𝑈−𝐿
̂𝑝𝑚𝑐
mle
= √ . (2.9)
6 𝛿̂ 2 mle
+ (𝜇̂ mle − 𝑇)2 + 𝑀 (𝑡)
2.2 Ordinary and weighted least square estimators
The LSE and the WLSE were proposed by Swain et al.51 to estimate the parameters of Beta distribution. Suppose 𝐹(𝑦(𝑖∶𝑛) ∣
𝜇, 𝛿) denotes the distribution function of the ordered random variables 𝑌(1∶𝑛) < 𝑌(2∶𝑛) < ⋯ < 𝑌(𝑛∶𝑛) of size 𝑛 from a
distribution function 𝐹(⋅), therefore, the LSEs of the parameters 𝜇, 𝛿 can be obtained by minimizing the following function:
𝑛 [ ]2
∑ 𝑖
(𝜇, 𝛿) = 𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − , (2.10)
𝑖=1
𝑛+1
The LSEs 𝜇̂ lse , 𝛿̂lse of the parameters 𝜇, 𝛿 can also be obtained by solving the following non-linear equations:
𝑛 [ ]
∑ 𝑖
𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂 (𝑦 ∣ 𝜇, 𝛿) = 0, (2.11)
𝑖=1
𝑛 + 1 1 (𝑖∶𝑛)
and
𝑛 [ ]
∑ 𝑖
𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂 (𝑦 ∣ 𝜇, 𝛿) = 0, (2.12)
𝑖=1
𝑛 + 1 2 (𝑖∶𝑛)
where
( )( )
𝑦(𝑖∶𝑛) − 𝜇 1
𝜂1 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) = 𝜙 − , (2.13)
𝛿 𝛿
( )( )
( ) 𝑦(𝑖∶𝑛) − 𝜇 1
𝜂2 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) = 𝑦(𝑖∶𝑛) − 𝜇 𝜙 − 2 . (2.14)
𝛿 𝛿
where 𝜙(.) is the PDF of standard normal variate. The above normal equations cannot be solved analytically, therefore, we
use a non-linear minimization (NLM) technique to obtain the solutions. Substituting the LSEs of the parameters 𝜇 and 𝛿,
SAHA et al. 409
we can get the estimators of 𝑝𝑚 , 𝑝𝑚𝑐 as
𝑈−𝐿
̂𝑝𝑚
lse
= √ , (2.15)
6 𝛿̂lse
2
+ (𝜇̂ lse − 𝑇)2
and
𝑈−𝐿
̂𝑝𝑚𝑐
lse
= √ . (2.16)
̂ 2 2
6 𝛿lse + (𝜇̂ lse − 𝑇) + 𝐶𝑀 (𝑡)
respectively. The WLSEs of the parameters 𝜇, 𝛿 can be obtained by minimizing
𝑛 2 [ ]2
∑ (𝑛 + 1) (𝑛 + 2) 𝑖
(𝜇, 𝛿) = 𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − (2.17)
𝑖=1
𝑖(𝑛 − 𝑖 + 1) 𝑛+1
with respect to 𝜇 and 𝛿. These estimators can also be obtained by solving the following equations
𝑛 2 [ ]
∑ (𝑛 + 1) (𝑛 + 2) 𝑖
𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂 (𝑦 ∣ 𝜇, 𝛿) = 0, (2.18)
𝑖=1
𝑖(𝑛 − 𝑖 + 1) 𝑛 + 1 1 (𝑖∶𝑛)
𝑛 2 [ ]
∑ (𝑛 + 1) (𝑛 + 2) 𝑖
𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂 (𝑦 ∣ 𝜇, 𝛿) = 0. (2.19)
𝑖=1
𝑖(𝑛 − 𝑖 + 1) 𝑛 + 1 2 (𝑖∶𝑛)
where 𝜂1 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) and 𝜂2 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) are defined in Equations (2.13) and (2.14), respectively. Substituting the WLSEs,
we can get the respective estimators of 𝑝𝑚 and 𝑝𝑚𝑐 as
𝑈−𝐿
̂𝑝𝑚
wlse
= √ . (2.20)
̂ 2
6 𝛿wlse + (𝜇̂ wlse − 𝑇)2
and
𝑈−𝐿
̂𝑝𝑚𝑐
wlse
= √ . (2.21)
6 𝛿̂wlse
2
+ (𝜇̂ wlse − 𝑇)2 + 𝑀 (𝑡)
2.3 Percentile estimator
This method was originally suggested by Kao52,53 to estimate the unknown parameters. In this paper, we apply the same
technique for the normal distribution. Let 𝑌(𝑖∶𝑛) be the 𝑖th order statistic, that is, 𝑌(1∶𝑛) < 𝑌(2∶𝑛) < ⋯ < 𝑌(𝑛∶𝑛) . If 𝑝𝑖
denotes some estimate of 𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿), then the estimators of 𝜇 and 𝛿 can be obtained by minimizing
𝑛
∑ [ ]2
(𝜇, 𝛿) = 𝑦(𝑖∶𝑛) − 𝑄(𝑝𝑖 ∣ 𝜇, 𝛿) (2.22)
𝑗=1
𝑖
with respect to 𝜇 and 𝛿. Several estimators of 𝑝𝑖 can be used here. In this paper, we have considered 𝑝𝑖 = . Substituting
𝑛+1
the PCEs, we can get the estimators of 𝑝𝑚 and 𝑝𝑚𝑐 as
𝑈−𝐿
̂𝑝𝑚 = √
pce
, (2.23)
6 𝛿̂pce
2
+ (𝜇̂ pce − 𝑇)2
410 SAHA et al.
and
𝑈−𝐿
̂𝑝𝑚𝑐 = √
pce
(2.24)
6 𝛿̂pce
2
+ (𝜇̂ pce − 𝑇)2 + 𝑀 (𝑡)
For estimation of parameters, sufficient sample size is needed for this method. Besides, this method accentuates discrep-
ancies of both tails of the distribution. This method is quite significant in hydrologic frequency analysis.
2.4 Cramèr-von-Mises estimator
To motivate our choice of Cramèr-von-Mises type minimum distance estimators, MacDonald54 provided an empirical
evidence that the bias of the estimator is smaller than the other minimum distance estimators. Thus, the CMEs of 𝜇 and
𝛿 can be obtained by minimizing the following function
𝑛 [
∑
]2
1 2𝑖 − 1
(𝜇, 𝛿) = + 𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) −
12𝑛 𝑖=1 2𝑛
with respect to 𝜇 and 𝛿. These estimators can also be obtained by solving the following non-linear equations
𝑛 [ ]
∑ 2𝑖 − 1
𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂1 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) = 0,
𝑖=1
2𝑛
𝑛 [ ]
∑ 2𝑖 − 1
𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂2 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) = 0.
𝑖=1
2𝑛
where 𝜂1 (. ∣ 𝜇, 𝛿) and 𝜂2 (. ∣ 𝜇, 𝛿) are defined in Equations (2.13) and (2.14), respectively. Hence, the estimators of 𝑝𝑚 and
𝑝𝑚𝑐 are given by
𝑈−𝐿
̂𝑝𝑚
cme
= √ . (2.25)
̂ 2
6 𝛿cme + (𝜇̂ cme − 𝑇)2
and
𝑈−𝐿
̂𝑝𝑚𝑐
cme
= √ . (2.26)
6 𝛿̂cme
2
+ (𝜇̂ cme − 𝑇)2 + 𝑀 (𝑡)
Cramér von Mises method is an alternative to the Kolmogorov–Smirnov test and its theoretical properties of estimation
can be derived. Moreover, a central limit theorem can be proven for the estimator which allows one to obtain confidence
intervals. However, this method does not require any assumption on the distribution to estimate the parameters, which
sometimes may provide misleading estimates.
2.5 Maximum product of spacings estimator
This method was introduced by Cheng and Amin55 as an alternative to the method of MLE. The method is briefly described
as follows. The CDF of the normal distribution is given in Equation (2.4). Using the same notations in subsection 2.2, we
define the uniform spacings of a random sample from the normal distribution as:
𝑖 (𝜇, 𝛿) = 𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝐹(𝑦(𝑖−1∶𝑛) ∣ 𝜇, 𝛿) 𝑖 = 1, 2, ⋯ , 𝑛 + 1 (2.27)

SAHA et al. 411
∑𝑛+1
where 𝐹(𝑦(0∶𝑛) ∣ 𝜇, 𝛿) = 0 and 𝐹(𝑦(𝑛+1∶𝑛) ∣ 𝜇, 𝛿) = 1. Clearly 𝑖=1 𝑖 (𝜇, 𝛿) = 1. The MPSEs of the parameters 𝜇 and 𝛿 can
be obtained by maximizing the following geometric mean of the spacings
√( )
√ 𝑛+1
√ ∏
= √
𝑛+1
𝑖 (𝜇, 𝛿) . (2.28)
𝑖=1
with respect to 𝜇 and 𝛿. Taking logarithm on both sides of Equation (2.28), we get
𝑛+1
∑
1
log  = log 𝑖 (𝜇, 𝛿). (2.29)
(𝑛 + 1) 𝑖=1
The MPSEs are obtained by solving the following non-linear equations
𝑛+1
∑ 1 [ ]
𝜂1 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂1 (𝑦(𝑖−1∶𝑛) ∣ 𝜇, 𝛿) = 0, (2.30)
𝑖=1
𝑖 (𝜇, 𝛿)
and
𝑛+1
∑ 1 [ ]
𝜂2 (𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝜂2 (𝑦(𝑖−1∶𝑛) ∣ 𝜇, 𝛿) = 0. (2.31)
𝑖=1
𝑖 (𝜇, 𝛿)
where 𝜂1 (. ∣ 𝜇, 𝛿) and 𝜂2 (. ∣ 𝜇, 𝛿) are defined in Equations (2.13) and (2.14), respectively. Hence, the estimators of 𝑝𝑚 and
𝑝𝑚𝑐 can be written as
𝑈−𝐿
̂𝑝𝑚 = √
mpse
, (2.32)
̂ 2
6 𝛿mpse + (𝜇̂ mpse − 𝑇)2
and
𝑈−𝐿
̂𝑝𝑚𝑐 = √
mpse
(2.33)
6 𝛿̂mpse
2
+ (𝜇̂ mpse − 𝑇)2 + 𝑀 (𝑡)
Maximum likelihood estimation is the starting point when it comes to estimating the parameters of the model but some-
times MLE fails to perform satisfactorily for heavy tailed distribution as well as mixture distributions whereas MPS may be
successful in such cases. Very often it has been observed that MPS has more robust properties than the MLE. The consis-
tency of MPS estimators holds under much more general conditions than MLE. Also, MPS estimators are asymptotically
efficient as MLE. Another advantage of MPS estimators is the existence in cases where MLEs do not exist.
3 BOOTSTRAP CONFIDENCE INTERVALS
As far as our knowledge goes, there are no theories developed to obtain the CIs for the parameters based on the different
methods of estimation except for the methods of MLE and MPSE which are based on the theory of asymptotic distributions
(see, Basu et al.56 ). For this reason, we propose three CIs based on bootstrap methods: (i) -boot, (ii) -boot based on the
idea of Efron,57 and (iii)  𝑝 -boot. Below, we discuss the algorithm for the bootstrap methods.
∙ Step 1: Let (𝑌1 , 𝑌2 , … , 𝑌𝑛 ) be a random sample of size 𝑛 drawn from Normal(𝜇, 𝛿2 ). Compute MLEs (𝜇, ̂ of (𝜇, 𝛿).
̂ 𝛿)
A bootstrap sample of size 𝑛 is obtained from the original sample by multiplying 1∕𝑛 as mass at each point, denoted by
(𝑌1∗ , 𝑌2∗ , … , 𝑌𝑛∗ ).
∙ Step 2: Compute the MLEs (𝜇̂ ∗ , 𝛿̂ ∗ ) of (𝜇, 𝛿) as well as ̂𝑝𝑚
∗
of 𝑝𝑚 . The th bootstrap estimator of 𝑝𝑚 is computed
̂ ∗() ̂ ∗() ∗() ∗()
as 𝑝𝑚 = 𝑝𝑚 (𝑌 1 2, 𝑌 , … , 𝑌𝑛 ).
412 SAHA et al.
∙ Step 3: There are total number of 𝑛𝑛 re-samples. From these re-samples, calculate  values of ̂𝑝𝑚
∗
.
The arrangement of the entire collection from smallest to largest would constitute an empirical bootstrap distribution
∗() ∗(1) ∗(2) ∗()
as {̂𝑝𝑚 ;  = 1(1)}, that is, ̂𝑝𝑚 ≤ ̂𝑝𝑚 ≤ … ≤ ̂𝑝𝑚 .
3.1 -boot
Let ̄̂𝑝𝑚
∗ ∗
and  be the sample mean and sample standard deviation of
∗()
{̂𝑝𝑚 ;  = 1, 2, … , }, that is,

1 ∑ ̂ ∗()
̄̂𝑝𝑚
∗
= 
 =1 𝑝𝑚
and
√
√  ( )2
√ 1 ∑
 = √ ̂𝑝𝑚 − ̄̂𝑝𝑚
∗ ∗() ∗
,
( − 1) =1
respectively. A 100(1 − 𝛾)% -boot CI of 𝑝𝑚 is given by

{ }
̄̂𝑝𝑚 − (𝛾∕2) . , ̄̂𝑝𝑚
∗ ∗ ∗ ∗
+ (𝛾∕2) . , (3.34)
where (𝛾∕2) is obtained by using upper (𝛾∕2)th point of the standard normal variate.
3.2  -boot
∗(𝜉) ∗() ∗(𝜉)
Let ̂𝑝𝑚 be the 𝜉 percentile of {̂𝑝𝑚 ;  = 1, 2, … , }, that is, ̂𝑝𝑚 is such that
1 ∑ ( ̂ ∗(𝐼) )

∗(𝜉)
𝑛 𝑝𝑚 ≤ ̂𝑝𝑚 = 𝜉; 0 < 𝜉 < 1,
 =1
where 𝑛 is an indicator function. Then, a 100(1 − 𝛾)% -boot CI of 𝑝𝑚 is

{ }
∗(.(𝛾∕2)) ̂ ∗(.(1−𝛾∕2))
̂𝑝𝑚 , 𝑝𝑚 . (3.35)
3.3  𝒑 -boot
∗(1)
The idea of this method lies on correcting the potential bias. At first, locate the observed ̂𝑝𝑚 in the order statistics ̂𝑝𝑚 ≤
∗(2) ∗()
̂𝑝𝑚 ≤ … ≤ ̂𝑝𝑚 . Next, compute the probability
1 ∑ ( ̂ ∗() )

0 = 𝑛 𝑝𝑚 ≤ ̂𝑝𝑚 .
 =1
Now, calculate Ψ0 = Φ−1 (0 ) and 𝜓𝑙 and 𝜓𝑢 are defined as

( ) ( )
𝜓𝑙 = Φ 2Ψ0 − 𝜉(1−𝛾∕2) and 𝜓𝑢 = Φ 2Ψ0 + 𝜉(1−𝛾∕2) .
SAHA et al. 413
Then, 100(1 − 𝛾)%  𝑝 -boot CI of 𝑝𝑚 is

{ }
∗(.𝜓 ) ∗(.𝜓 )
̂𝑝𝑚 𝑙 , ̂𝑝𝑚 𝑢 . (3.36)
∗()
In a similar way, we can also find out the empirical bootstrap distribution of 𝑝𝑚𝑐 as {̂𝑝𝑚𝑐 ;  = 1(1)} and can obtain
the BCIs.
4 BAYESIAN ANALYSIS
In this section, we present Bayesian estimation of the PCIs 𝑝𝑚 and 𝑝𝑚𝑐 . As a powerful and valid alternative to classical
estimation, Bayesian analysis is a natural way to combine the observed information with the prior information which
makes it very valuable in reliability, lifetime study, and other associated fields where one of the major challenges is the
limited availability of data. Under the specification of normal distribution with the mean 𝜇 and the variance 𝛿2 , we have
the kernel function of the parameter (𝜇, 𝛿2 ) from the likelihood function in Equation (2.4), given by
{ }
−
𝑛
1
𝐿(𝜇, 𝛿 2 ∣ 𝑦) ∝ (𝛿2 ) 2 exp − [𝑆 + 𝑛(𝑦̄ − 𝜇)2] , (4.37)
2𝛿 2
1 ∑𝑛 ∑𝑛 2
where 𝑦 = (𝑦1 , 𝑦2 , … , 𝑦𝑛 ), 𝑦̄ = 𝑖=1 𝑦𝑖 , and 𝑆 =
̄2 2
𝑖=1 𝑦𝑖 − 𝑛𝑦 . Let 𝜑 = 𝛿 for symbolic simplification. Specifying a gen-
𝑛
eral joint prior for 𝜇 and 𝜑 leads to computational complexities for the Bayes estimators. To simplify the Bayesian analysis,
we consider the joint prior PDF as a product of 𝜇|𝜑 ∼ 𝑁(𝜇0 , 𝜑) and 𝜑 ∼ 𝐼𝐺(𝜑; 𝑎, 𝑏). The corresponding prior density func-
tions are given by
{ }
𝑏𝑎 −(𝑎+1) 𝑏
𝜋(𝜑) = 𝜑 exp − , (4.38)
Γ(𝑎) 𝜑
{ }
1 1 (𝜇 − 𝜇0 )2
𝜋(𝜇|𝜑) = √ exp − . (4.39)
2𝜋𝜑 2 𝜑
where 𝑎, 𝑏, 𝜇0 are the hyper-parameters of the priors which are assumed to be known, see Hong58 for more details. There-
fore, the joint prior function of 𝜇 and 𝜑 can be written as 𝜋(𝜇, 𝜑) = 𝜋(𝜑)𝜋(𝜇|𝜑). With known likelihood function and joint
prior function, the joint posterior density function of 𝜇 and 𝜑 can be written as
𝐿(𝜇,𝜑|𝑦)𝜋(𝜑)𝜋(𝜇|𝜑)
𝑝(𝜇, 𝜑|𝑦) = +∞ +∞
∫0 ∫−∞ 𝐿(𝜇,𝜑|𝑦)𝜋(𝜑)𝜋(𝜇|𝜑)𝑑𝜇𝑑𝜑
( ) (4.40)
−
3+𝑛
+𝑎
{ }
1
∝𝜑 2 exp − [𝑆1 + (𝑛 + 1)(𝜇 − 𝜇1 )2 ] .
2𝜑
̄
𝑛𝑦+𝜇0 ̄ 2
𝑛(𝜇 −𝑦)
where 𝜇1 = and 𝑆1 = 𝑆 + 2𝑏 + 0 . By performing the integral operation for the joint posterior function with
𝑛+1 𝑛+1
respect to 𝜇 and 𝜑, we have the following expressions
+∞
𝜋(𝜑|𝑦) = 𝐿(𝜇, 𝜑|𝑦)𝜋(𝜑)𝜋(𝜇|𝜑)𝑑𝜇
∫0
( ) { ( )}
− 𝑎+1+
𝑛
1 𝑆1
∝𝜑 2 exp − . (4.41)
𝜑 2
+∞
𝜋(𝜇|𝑦) = 𝐿(𝜇, 𝜑|𝑦)𝜋(𝜑)𝜋(𝜇|𝜑)𝑑𝜑
∫−∞
( )
Γ
𝑛+2𝑎+1 √
1 2 1+𝑛 (𝜇 − 𝜇1 )2 − 𝑛+2𝑎+1
∝ √ √ [1 + ] 2 . (4.42)
𝜋 Γ(𝑛 + 2𝑎) 𝑆1 𝑆1 ∕(𝑛 + 1)
414 SAHA et al.
TA B L E 1 Bayes estimator under different loss functions

Loss function Bayes estimator
𝐿1 = SLF = (𝜃 − 𝑑)2 𝐸(𝜃 | 𝒙)
1
𝐿2 = LLF = 𝑒𝜏(𝑑−𝜃) − 𝜏(𝑑 − 𝜃) − 1 − ln(𝐸𝜃 (𝑒−𝜏𝜃 ))
𝜏
( )2
𝑑 𝐸(𝜃 −1 | 𝒙)
𝐿3 = MSLF = 1 −
𝜃 𝐸(𝜃 −2 | 𝒙)
(√ √ )2 √
𝑑 𝜃 𝐸(𝜃 | 𝒙)
𝐿4 = KLF = −
𝜃 𝑑 𝐸(𝜃 −1 | 𝒙)
From Equation (4.41), the marginal posterior distribution of 𝜑 is an inverse gamma distribution, that is, 𝜑 ∼
𝑛+2𝑎 𝑆1
IG( , ). It may be noted here that the marginal posterior distribution of 𝜇 in Equation (4.42) is not the known dis-
2 2 √ 𝜇−𝜇1
tribution. However, through the transformation 𝑇 = 𝑁( √ ) and 𝑁 = 𝑛 + 2𝑎, it can be proved that the random
𝑆1 ∕(𝑛+1)
variable 𝑇 follows a 𝑡-distribution with 𝑁 degree of freedom, that is 𝑇 ∼ 𝑡(𝑁). Given the distribution functions of 𝜑 and
𝑇, we can generate the Markov chain Monte Carlo (MCMC) samples of 𝜑 and 𝜇. With known marginal posterior distribu-
tions of 𝜇 and 𝜑, the Bayes estimators of the indices 𝑝𝑚 and 𝑝𝑚𝑐 are obtained by adopting the MCMC algorithm based
on different loss functions, namely, squared error loss function (SLF), modified squared error loss function (MSLF), linear
exponential loss function (LLF) and k-loss function (KLF). The expression of the loss functions and the corresponding
Bayes estimators are provided in Table 1 (see, Dey et al.45,46 ).
5 SIMULATION STUDY
Here, we have carried out a Monte Carlo simulation study to compare the performance of the classical and the Bayesian
methods of estimation of the PCIs 𝑝𝑚 and 𝑝𝑚𝑐 . The performance of the estimates (classical as well as Bayes) are com-
pared in terms of their MSEs. Also, we have obtained three BCIs, namely, -boot, -boot, and  𝑝 -boot and high poste-
rior density (HPD) credible intervals. The performance of the CIs are compared in terms of their AWs and CPs. Here, for
the simulation study, we have considered the sample sizes 𝑛 = 10, 20, 30, 50 and set the lower specification limit, tar-
get value, the upper specification limit as 0.0, 6.0, 12.0 and (𝜇, 𝛿) = (3.0, 1.0), (3.0, 2.0), (4.0, 1.0), (4.0, 2.0) respectively.
For each of the designs,  = 1, 000 bootstrap samples each of size 𝑛 are drawn from the original sample and replicated
 = 1, 000 times.
5.1 Simulation results using nominal coverage as the criterion
The classical estimates (MLE, LSE, WLSE, PCE, CME, MPSE) and their corresponding MSEs are reported in Table 2. The
results of the 95% BCIs, namely, -boot, -boot, and  𝑝 -boot constructed by each of the classical methods of estimation
for 𝑝𝑚 and 𝑝𝑚𝑐 are reported in Tables 3–8 respectively. From Table 2, we observe that among all considered classical
methods of estimation, MPSE performs better than their counterparts for all cases and the order of best method of estima-
tion is MPSE < WLSE < MLE < PCE < CME < LSE in terms of their corresponding MSEs. Also, in all cases, MSEs are
decrease as we increase the sample sizes.
To obtain the Bayes estimates of the indices 𝑝𝑚 and 𝑝𝑚𝑐 , we set the hyper-parameter values as 𝑎 = 2.0, 𝑏 = 0.5, 𝜇0 =
0.5. Also, we have considered 𝜏 = 5.0 for estimating the Bayes estimate under different loss functions. The coefficients in
the tolerance cost function are specified by 0 = 15, 1 = 25 and 2 = 20. Then, at 𝑡 = 0.5, the values of 𝑀 (𝑡), 𝑝𝑚 , and
𝑝𝑚𝑐 can be calculated. The Bayes estimates including MSEs, and the 95% HPD credible intervals along with AWs and
CPs of 𝑝𝑚 and 𝑝𝑚𝑐 are presented in Tables 9–10 respectively. Chen and Shao59 suggested an algorithm by which we can
get the 100(1 − 𝜁)% HPD credible interval of the indices 𝐶𝑝𝑚 and 𝐶𝑝𝑚𝑐 , respectively. The following steps may be used to
extract the samples from 𝜋(𝜑|𝑦) and 𝜋(𝜇|𝑦).
1. Set the initial guess value {𝜑(0) , 𝜇(0) }.

𝑛+2𝑎 𝑆1
2. For given data set, generate a value of 𝜑 from inverse gamma distribution with parameters and .
2 2
SAHA et al. 415
TA B L E 2 Classical estimates and corresponding MSEs of PCIs 𝑝𝑚 and 𝑝𝑚𝑐

MLE LSE WLSE PCE CME MPSE
PCI and Parameters 𝒏 MLE MSE LSE MSE WLSE MSE PCE MSE CME MSE MPSE MSE
𝑝𝑚 = 10 0.6392 0.0040 0.4090 0.0140 0.6280 0.0040 0.6255 0.0037 0.6383 0.0045 0.6234 0.0037
0.6324 20 0.6359 0.0018 0.4812 0.0198 0.6315 0.0019 0.6280 0.0017 0.6358 0.0020 0.6265 0.0017
𝜇=3.0 30 0.6341 0.0014 0.5233 0.0191 0.6317 0.0014 0.6285 0.0013 0.6343 0.0015 0.6273 0.0013
𝛿=1 50 0.6327 0.0007 0.5693 0.0137 0.6312 0.0007 0.6290 0.0007 0.6324 0.0008 0.6282 0.0007
𝑝𝑚𝑐 = 10 0.4003 0.0002 0.3119 0.0027 0.3974 0.0002 0.3968 0.0002 0.3998 0.0002 0.3963 0.0002
0.3999 20 0.4002 0.0001 0.3409 0.0031 0.3990 0.0001 0.3982 0.0001 0.4001 0.0001 0.3978 0.0001
𝜇=3.0 30 0.3999 0.0000 0.3572 0.0029 0.3992 0.0000 0.3985 0.0000 0.3999 0.0000 0.3982 0.0000
𝛿=1 50 0.3998 0.0000 0.3754 0.0020 0.3994 0.0000 0.3988 0.0000 0.3996 0.0000 0.3986 0.0000
𝑝𝑚 = 10 0.5734 0.0094 0.4640 0.0144 0.5452 0.0086 0.5369 0.0076 0.5716 0.0109 0.5320 0.0075
0.5547 20 0.5646 0.0048 0.5182 0.0101 0.5522 0.0050 0.5433 0.0043 0.5627 0.0057 0.5395 0.0042
𝜇=3.0 30 0.5619 0.0029 0.5465 0.0045 0.5544 0.0031 0.5466 0.0027 0.5615 0.0035 0.5437 0.0026
𝛿=2 50 0.5576 0.0016 0.5506 0.0023 0.5538 0.0017 0.5475 0.0015 0.5575 0.0019 0.5454 0.0015
𝑝𝑚𝑐 = 10 0.3799 0.0007 0.3364 0.0037 0.3711 0.0007 0.3687 0.0007 0.3788 0.0008 0.3671 0.0007
0.3779 20 0.3789 0.0004 0.3601 0.0023 0.3749 0.0004 0.3723 0.0004 0.3780 0.0004 0.3711 0.0004
𝜇=3.0 30 0.3789 0.0002 0.3730 0.0007 0.3764 0.0002 0.3741 0.0002 0.3785 0.0003 0.3731 0.0002
𝛿=2 50 0.3781 0.0001 0.3755 0.0003 0.3769 0.0001 0.3749 0.0001 0.3779 0.0001 0.3742 0.0001
𝑝𝑚 = 10 0.9228 0.0171 0.3531 0.0039 0.8909 0.0166 0.8827 0.0145 0.9187 0.0198 0.8775 0.0143
0.8944 20 0.9047 0.0075 0.3646 0.0103 0.8925 0.0080 0.8827 0.0070 0.9038 0.0089 0.8787 0.0069
𝜇=4.0 30 0.9026 0.0051 0.3718 0.0137 0.8940 0.0052 0.8863 0.0048 0.9008 0.0056 0.8833 0.0048
𝛿=1 50 0.8981 0.0029 0.4077 0.0296 0.8939 0.0031 0.8874 0.0028 0.8975 0.0034 0.8852 0.0028
𝑝𝑚𝑐 = 10 0.4482 0.0002 0.2893 0.0004 0.4442 0.0002 0.4434 0.0002 0.4474 0.0002 0.4427 0.0002
0.4472 20 0.4473 0.0001 0.2925 0.0009 0.4457 0.0001 0.4446 0.0001 0.4470 0.0001 0.4440 0.0001
𝜇=4.0 30 0.4474 0.0000 0.2947 0.0012 0.4463 0.0000 0.4454 0.0000 0.4471 0.0000 0.4450 0.0000
𝛿=1 50 0.4472 0.0000 0.3054 0.0026 0.4466 0.0000 0.4458 0.0000 0.4470 0.0000 0.4455 0.0000
𝑝𝑚 = 10 0.7565 0.0270 0.4607 0.0290 0.7002 0.0270 0.6802 0.0192 0.7549 0.0361 0.6699 0.0183
0.707106 20 0.7279 0.0109 0.5551 0.0326 0.7043 0.0110 0.6854 0.0090 0.7272 0.0135 0.6778 0.0087
𝜇=4.0 30 0.7228 0.0071 0.6206 0.0262 0.7065 0.0075 0.6912 0.0062 0.7205 0.0090 0.6856 0.0060
𝛿=2 50 0.7134 0.0042 0.6650 0.0167 0.7056 0.0045 0.6925 0.0038 0.7126 0.0052 0.6882 0.0037
𝑝𝑚𝑐 = 10 0.4209 0.0006 0.3292 0.0038 0.4092 0.0008 0.4061 0.0007 0.4187 0.0010 0.4038 0.0007
0.4170 20 0.4184 0.0003 0.3620 0.0052 0.4135 0.0004 0.4098 0.0003 0.4177 0.0004 0.4082 0.0003
𝜇=4.0 30 0.4183 0.0002 0.3853 0.0036 0.4148 0.0002 0.4118 0.0002 0.4173 0.0003 0.4106 0.0002
𝛿=2 50 0.4171 0.0001 0.4007 0.0025 0.4154 0.0001 0.4128 0.0001 0.4167 0.0002 0.4119 0.0001
PCI and 𝑛 MLE MSE LSE MSE WLSE MSE PCE MSE CME MSE MPSE MSE
𝑝𝑚 = 10 1.4724 0.0836 1.3461 0.0860 1.3754 0.0831 1.3303 0.0842 1.4721 0.0851 1.3094 0.0829
1.4142 20 1.4549 0.0414 1.3652 0.0426 1.4004 0.0413 1.3679 0.0421 1.4461 0.0424 1.3536 0.0409
𝜇=5.0 30 1.4483 0.0297 1.3754 0.0261 1.4114 0.0276 1.3860 0.0282 1.4411 0.0290 1.3743 0.0264
𝛿=1.0 50 1.4343 0.0169 1.4057 0.0177 1.4141 0.0167 1.3926 0.0171 1.4343 0.0172 1.3840 0.0159
𝑝𝑚𝑐 = 10 0.4847 0.0012 0.3970 0.0059 0.4797 0.0010 0.4785 0.0014 0.4823 0.0016 0.4776 0.0009
0.4850 20 0.4848 0.0006 0.4188 0.0051 0.4824 0.0004 0.4815 0.0007 0.4844 0.0009 0.4809 0.0005
𝜇=5.0 30 0.4849 0.0005 0.4328 0.0037 0.4837 0.0004 0.4829 0.0006 0.4849 0.0008 0.4824 0.0003
𝛿=1 50 0.4851 0.0003 0.4468 0.0019 0.4846 0.0002 0.4835 0.0003 0.4851 0.0003 0.4832 0.0002
𝑝𝑚 = 10 0.9790 0.0532 0.4099 0.0546 0.8821 0.0528 0.8385 0.0538 0.9830 0.0544 0.8203 0.0524
0.8944 20 0.9316 0.0250 0.5038 0.0254 0.8872 0.0248 0.8488 0.0251 0.9329 0.0252 0.8352 0.0242
𝜇=5.0 30 0.9198 0.0156 0.5696 0.0168 0.8921 0.0154 0.8592 0.0160 0.9203 0.0162 0.8482 0.0152
𝛿=2.0 50 0.9084 0.0098 0.6778 0.0112 0.8923 0.0092 0.8671 0.0104 0.9076 0.0106 0.8591 0.0086
(Continues)
416 SAHA et al.
TA B L E 2 (Continued)
MLE LSE WLSE PCE CME MPSE
PCI and Parameters 𝒏 MLE MSE LSE MSE WLSE MSE PCE MSE CME MSE MPSE MSE
𝑝𝑚𝑐 = 10 0.4502 0.0011 0.3068 0.0052 0.4364 0.0008 0.4328 0.0012 0.4449 0.0014 0.4301 0.0007
0.4472 20 0.4484 0.0005 0.3277 0.0044 0.4423 0.0004 0.4378 0.0006 0.4473 0.0008 0.4359 0.0004
𝜇=5.0 30 0.4481 0.0004 0.3535 0.0034 0.4444 0.0004 0.4404 0.0006 0.4474 0.0007 0.4389 0.0003
𝛿=2.0 50 0.4476 0.0003 0.3847 0.0015 0.4454 0.0002 0.4424 0.0004 0.4470 0.0004 0.4413 0.0002
TA B L E 3 BCIs (AWs and CPs) of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using MLEs of the parameters
-boot  -boot  𝒑 -boot
PCI/Parameter 𝒏 AW CP AW CP AW CP
𝑝𝑚 = 10 0.2086 0.837 0.1872 0.837 0.1869 0.837
0.6324 20 0.1821 0.889 0.1526 0.888 0.1521 0.889
𝜇=3.0 30 0.1567 0.911 0.1349 0.910 0.1338 0.911
𝛿=1.0 50 0.1355 0.926 0.1213 0.926 0.1194 0.927
𝑝𝑚𝑐 = 10 0.1073 0.842 0.0817 0.841 0.0811 0.842
0.3999 20 0.0799 0.891 0.0516 0.890 0.0511 0.891
𝜇=3.0 30 0.0556 0.912 0.0444 0.911 0.0423 0.912
𝛿=1.0 50 0.0383 0.928 0.0328 0.927 0.0308 0.926
𝑝𝑚 = 10 0.3589 0.891 0.3194 0.891 0.3139 0.890
0.5547 20 0.2699 0.912 0.2441 0.912 0.2399 0.911
𝜇=3.0 30 0.2246 0.921 0.2152 0.921 0.2054 0.920
𝛿=2.0 50 0.1934 0.928 0.1714 0.930 0.1651 0.927
𝑝𝑚𝑐 = 10 0.1134 0.892 0.1121 0.891 0.1094 0.892
0.3779 20 0.0842 0.913 0.0816 0.915 0.0789 0.916
𝜇=3.0 30 0.0622 0.921 0.0532 0.921 0.0523 0.920
𝛿=2.0 50 0.0445 0.928 0.0393 0.926 0.0387 0.927
𝑝𝑚 = 10 0.3487 0.805 0.3466 0.803 0.3443 0.802
0.8944 20 0.2999 0.881 0.2989 0.879 0.2988 0.881
𝜇=4.0 30 0.2675 0.906 0.2611 0.905 0.2596 0.904
𝛿=1.0 50 0.2234 0.926 0.2109 0.925 0.2088 0.924
𝑝𝑚𝑐 = 10 0.0589 0.804 0.0578 0.805 0.0554 0.807
0.4472 20 0.0499 0.881 0.0485 0.881 0.0467 0.881
𝜇=4.0 30 0.0448 0.906 0.0422 0.906 0.0383 0.905
𝛿=1.0 50 0.0376 0.928 0.0356 0.927 0.0295 0.928
𝑝𝑚 = 10 0.5112 0.892 0.4998 0.892 0.4788 0.891
0.7071 20 0.3884 0.919 0.3788 0.918 0.3667 0.916
𝜇=4.0 30 0.3297 0.924 0.3146 0.922 0.3112 0.924
𝛿=2.0 50 0.2586 0.931 0.2519 0.931 0.2489 0.930
𝑝𝑚𝑐 = 10 0.1087 0.902 0.1021 0.901 0.0966 0.901
0.4170 20 0.0854 0.916 0.0798 0.916 0.0765 0.915
𝜇=4.0 30 0.0671 0.924 0.0655 0.922 0.0646 0.923
𝛿=2.0 50 0.0582 0.930 0.0537 0.928 0.0512 0.928
𝑝𝑚 = 10 0.7731 0.802 0.7467 0.803 0.7458 0.803
1.4142 20 0.6638 0.878 0.6432 0.878 0.6424 0.876
𝜇=5.0 30 0.5742 0.904 0.5591 0.905 0.5587 0.905
𝛿=1.0 50 0.5238 0.918 0.5133 0.920 0.5139 0.919
(Continues)
SAHA et al. 417
𝑝𝑚𝑐 = 10 0.0563 0.804 0.0532 0.805 0.0529 0.804
0.4850 20 0.0413 0.890 0.0387 0.890 0.0373 0.890
𝜇=5.0 30 0.0355 0.911 0.0329 0.913 0.0323 0.912
𝛿=1.0 50 0.0257 0.924 0.0244 0.926 0.0228 0.926
𝑝𝑚 = 10 0.7256 0.904 0.7066 0.905 0.7124 0.904
0.8944 20 0.5449 0.919 0.5321 0.920 0.5259 0.920
𝜇=5.0 30 0.4436 0.927 0.4498 0.928 0.4463 0.928
𝛿=2.0 50 0.3775 0.934 0.3614 0.935 0.3572 0.935
𝑝𝑚𝑐 = 10 0.1023 0.908 0.0864 0.909 0.0847 0.908
0.4472 20 0.0920 0.916 0.0691 0.917 0.0683 0.917
𝜇=5.0 30 0.0789 0.926 0.0618 0.926 0.0599 0.926
𝛿=2.0 50 0.0667 0.933 0.0528 0.935 0.0511 0.934
TA B L E 4 BCIs (AWs and CPs) of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using LSEs of the parameters
𝑝𝑚 = 10 0.2135 0.833 0.1988 0.832 0.1964 0.832
0.6324 20 0.1889 0.877 0.1667 0.879 0.1628 0.877
𝜇=3.0 30 0.1641 0.910 0.1488 0.909 0.1472 0.907
𝛿=1.0 50 0.1411 0.923 0.1356 0.921 0.1332 0.922
𝑝𝑚𝑐 = 10 0.1112 0.838 0.0967 0.838 0.0956 0.837
0.3999 20 0.0979 0.883 0.0688 0.884 0.0673 0.883
𝜇=3.0 30 0.0654 0.907 0.0549 0.907 0.0524 0.906
𝛿=1.0 50 0.0558 0.924 0.0459 0.924 0.0445 0.924
𝑝𝑚 = 10 0.3477 0.876 0.3289 0.877 0.3234 0.876
0.5547 20 0.2763 0.905 0.2591 0.904 0.2578 0.904
𝜇=3.0 30 0.2311 0.910 0.2217 0.910 0.2178 0.911
𝛿=2.0 50 0.1998 0.924 0.1824 0.923 0.1795 0.922
𝑝𝑚𝑐 = 10 0.1283 0.884 0.1265 0.882 0.1243 0.883
0.3779 20 0.0959 0.911 0.0935 0.910 0.0927 0.911
𝜇=3.0 30 0.0716 0.919 0.0672 0.919 0.0664 0.918
𝛿=2.0 50 0.0571 0.925 0.0538 0.924 0.0521 0.924
𝑝𝑚 = 10 0.3667 0.801 0.3633 0.802 0.3512 0.801
0.8944 20 0.2788 0.874 0.2766 0.873 0.2577 0.872
𝜇=4.0 30 0.2724 0.904 0.2687 0.903 0.2477 0.902
𝛿=1.0 50 0.2321 0.921 0.2279 0.921 0.2189 0.920
𝑝𝑚𝑐 = 10 0.0678 0.803 0.0641 0.803 0.0622 0.802
0.4472 20 0.0583 0.879 0.0553 0.879 0.0511 0.878
𝜇=4.0 30 0.0499 0.904 0.0469 0.902 0.0443 0.903
𝛿=1.0 50 0.0434 0.923 0.0411 0.922 0.0387 0.923
𝑝𝑚 = 10 0.5245 0.886 0.5246 0.884 0.4933 0.885
0.7071 20 0.4384 0.906 0.4111 0.905 0.3836 0.906
𝜇=4.0 30 0.3587 0.919 0.3524 0.918 0.3338 0.917
𝛿=2.0 50 0.2888 0.926 0.2841 0.925 0.2721 0.926
𝑝𝑚𝑐 = 10 0.1383 0.902 0.1327 0.901 0.1277 0.901
0.4170 20 0.0947 0.908 0.1129 0.909 0.1045 0.907
(Continues)
418 SAHA et al.
𝜇=4.0 30 0.0821 0.920 0.0797 0.919 0.0753 0.918
𝛿=2.0 50 0.0687 0.925 0.0623 0.925 0.0589 0.924
𝑝𝑚 = 10 0.7733 0.802 0.7469 0.805 0.7461 0.804
1.4142 20 0.6639 0.878 0.6433 0.878 0.6427 0.875
𝜇=5.0 30 0.5744 0.905 0.5594 0.906 0.5589 0.906
𝛿=1.0 50 0.5240 0.920 0.5134 0.921 0.5141 0.920
𝑝𝑚𝑐 = 10 0.0565 0.804 0.0534 0.805 0.0530 0.804
0.4850 20 0.0414 0.890 0.0389 0.890 0.0374 0.889
𝜇=5.0 30 0.0358 0.912 0.0332 0.913 0.0327 0.912
𝛿=1.0 50 0.0259 0.924 0.0246 0.926 0.0230 0.925
𝑝𝑚 = 10 0.7258 0.904 0.7069 0.905 0.7126 0.904
0.8944 20 0.5451 0.919 0.5326 0.920 0.5263 0.919
𝜇=5.0 30 0.4438 0.927 0.4507 0.928 0.4466 0.927
𝛿=2.0 50 0.3777 0.934 0.3617 0.935 0.3577 0.934
𝑝𝑚𝑐 = 10 0.1025 0.906 0.0867 0.907 0.0849 0.906
0.4472 20 0.0924 0.916 0.0694 0.915 0.0684 0.916
𝜇=5.0 30 0.0792 0.925 0.0623 0.924 0.0607 0.923
𝛿=2.0 50 0.0672 0.933 0.0533 0.934 0.0516 0.933
TA B L E 5 BCIs (AWs and CPs) of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using WLSEs of the parameters
𝑝𝑚 = 10 0.2066 0.838 0.1857 0.837 0.1864 0.838
0.6324 20 0.1808 0.889 0.1517 0.885 0.1513 0.888
𝜇=3.0 30 0.1544 0.911 0.1341 0.910 0.1332 0.910
𝛿=1.0 50 0.1344 0.927 0.1196 0.927 0.1188 0.926
𝑝𝑚𝑐 = 10 0.1068 0.846 0.0814 0.844 0.0803 0.845
0.3999 20 0.0733 0.893 0.0484 0.893 0.0464 0.894
𝜇=3.0 30 0.0543 0.914 0.0403 0.911 0.0393 0.912
𝛿=1.0 50 0.0337 0.928 0.0318 0.927 0.0289 0.926
𝑝𝑚 = 10 0.3584 0.893 0.3189 0.891 0.3135 0.891
0.5547 20 0.2695 0.913 0.2434 0.913 0.2394 0.912
𝜇=3.0 30 0.2238 0.922 0.2149 0.922 0.2047 0.921
𝛿=2.0 50 0.1923 0.929 0.1712 0.929 0.1645 0.928
𝑝𝑚𝑐 = 10 0.1117 0.899 0.1099 0.897 0.1089 0.896
0.3779 20 0.0831 0.915 0.0789 0.916 0.0776 0.915
𝜇=3.0 30 0.0606 0.923 0.0519 0.923 0.0510 0.922
𝛿=2.0 50 0.0423 0.929 0.0386 0.928 0.0377 0.929
𝑝𝑚 = 10 0.3442 0.805 0.3422 0.804 0.3412 0.803
0.8944 20 0.2979 0.881 0.2966 0.881 0.2966 0.880
𝜇=4.0 30 0.2653 0.907 0.2589 0.907 0.2587 0.905
𝛿=1.0 50 0.2577 0.928 0.2077 0.927 0.2067 0.926
𝑝𝑚𝑐 = 10 0.0544 0.804 0.0519 0.804 0.0511 0.804
0.4472 20 0.0456 0.883 0.0417 0.882 0.0409 0.881
𝜇=4.0 30 0.0424 0.907 0.0399 0.907 0.0377 0.906
𝛿=1.0 50 0.0365 0.928 0.0313 0.928 0.0289 0.927
(Continues)
SAHA et al. 419
𝑝𝑚 = 10 0.5097 0.892 0.4977 0.893 0.4767 0.892
0.7071 20 0.3874 0.919 0.3784 0.920 0.3642 0.918
𝜇=4.0 30 0.3288 0.927 0.3145 0.928 0.3093 0.925
𝛿=2.0 50 0.2578 0.930 0.2517 0.930 0.2467 0.931
𝑝𝑚𝑐 = 10 0.1075 0.903 0.0989 0.902 0.0954 0.902
0.4170 20 0.0824 0.919 0.0767 0.920 0.0744 0.919
𝜇=4.0 30 0.0653 0.928 0.0632 0.928 0.0612 0.927
𝛿=2.0 50 0.0547 0.931 0.0514 0.931 0.0498 0.932
𝑝𝑚 = 10 0.7726 0.804 0.7464 0.803 0.7456 0.802
1.4142 20 0.6633 0.878 0.6428 0.879 0.6422 0.877
𝜇=5.0 30 0.5739 0.905 0.5587 0.905 0.5583 0.906
𝛿=1.0 50 0.5234 0.917 0.5128 0.919 0.5133 0.918
𝑝𝑚𝑐 = 10 0.0555 0.804 0.0528 0.806 0.0521 0.805
0.4850 20 0.0395 0.890 0.0382 0.890 0.0366 0.892
𝜇=5.0 30 0.0348 0.912 0.0323 0.915 0.0315 0.915
𝛿=1.0 50 0.0252 0.926 0.0241 0.926 0.0224 0.927
𝑝𝑚 = 10 0.7244 0.904 0.7047 0.906 0.6995 0.906
0.8944 20 0.5437 0.920 0.5294 0.921 0.5249 0.921
𝜇=5.0 30 0.4424 0.927 0.4481 0.928 0.4441 0.930
𝛿=2.0 50 0.3768 0.934 0.3592 0.935 0.3553 0.936
𝑝𝑚𝑐 = 10 0.1019 0.910 0.0851 0.911 0.0834 0.911
0.4472 20 0.0899 0.918 0.0683 0.919 0.0675 0.920
𝜇=5.0 30 0.0757 0.926 0.0614 0.928 0.0594 0.928
𝛿=2.0 50 0.0638 0.934 0.0514 0.936 0.0498 0.937
TA B L E 6 BCIs (AWs and CPs) of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using PCEs of the parameters
𝑝𝑚 = 10 0.2089 0.837 0.1874 0.836 0.1871 0.836
0.6324 20 0.1843 0.889 0.1531 0.889 0.1522 0.890
𝜇=3.0 30 0.1573 0.912 0.1352 0.911 0.1341 0.912
𝛿=1.0 50 0.1359 0.928 0.1218 0.926 0.1198 0.927
𝑝𝑚𝑐 = 10 0.1077 0.842 0.0821 0.841 0.0814 0.841
0.3999 20 0.0812 0.892 0.0520 0.891 0.0515 0.892
𝜇=3.0 30 0.0568 0.912 0.0448 0.911 0.0428 0.911
𝛿=1.0 50 0.0396 0.928 0.0333 0.927 0.0313 0.927
𝑝𝑚 = 10 0.3594 0.890 0.3198 0.891 0.3143 0.891
0.5547 20 0.2710 0.912 0.2454 0.911 0.2411 0.910
𝜇=3.0 30 0.2257 0.920 0.2155 0.920 0.2067 0.921
𝛿=2.0 50 0.1949 0.927 0.1733 0.927 0.1663 0.926
𝑝𝑚𝑐 = 10 0.1146 0.891 0.1137 0.891 0.1112 0.891
0.3779 20 0.0858 0.913 0.0828 0.915 0.0798 0.916
𝜇=3.0 30 0.0639 0.920 0.0544 0.920 0.0538 0.919
𝛿=2.0 50 0.0456 0.928 0.0411 0.926 0.0394 0.926
(Continues)
420 SAHA et al.
𝑝𝑚 = 10 0.3492 0.804 0.3474 0.803 0.3456 0.803
0.8944 20 0.2721 0.882 0.2694 0.879 0.2408 0.880
𝜇=4.0 30 0.2687 0.906 0.2634 0.905 0.2313 0.906
𝛿=1.0 50 0.2255 0.924 0.2123 0.924 0.2122 0.923
𝑝𝑚𝑐 = 10 0.0599 0.805 0.0586 0.804 0.0566 0.804
0.4472 20 0.0513 0.880 0.0493 0.880 0.0475 0.882
𝜇=4.0 30 0.0467 0.906 0.0446 0.904 0.0396 0.905
𝛿=1.0 50 0.0391 0.928 0.0388 0.926 0.0332 0.927
𝑝𝑚 = 10 0.5143 0.892 0.5034 0.891 0.4794 0.892
0.7071 20 0.4078 0.918 0.3821 0.916 0.3682 0.913
𝜇=4.0 30 0.3356 0.924 0.3279 0.922 0.3133 0.922
𝛿=2.0 50 0.2632 0.929 0.2583 0.929 0.2498 0.928
𝑝𝑚𝑐 = 10 0.1156 0.902 0.1123 0.901 0.1079 0.901
0.4170 20 0.0975 0.915 0.0923 0.916 0.0887 0.914
𝜇=4.0 30 0.0776 0.922 0.0722 0.921 0.0668 0.921
𝛿=2.0 50 0.0623 0.927 0.0589 0.927 0.0549 0.926
𝑝𝑚 = 10 0.7735 0.802 0.7468 0.804 0.7459 0.804
1.4142 20 0.6642 0.877 0.6435 0.878 0.6425 0.877
𝜇=5.0 30 0.5746 0.903 0.5593 0.905 0.5589 0.904
𝛿=1.0 50 0.5241 0.917 0.5134 0.920 0.5141 0.920
𝑝𝑚𝑐 = 10 0.0566 0.803 0.0534 0.804 0.0531 0.803
0.4850 20 0.0417 0.888 0.0389 0.890 0.0375 0.891
𝜇=5.0 30 0.0362 0.910 0.0332 0.912 0.0327 0.911
𝛿=1.0 50 0.0268 0.925 0.0247 0.928 0.0233 0.927
𝑝𝑚 = 10 0.7261 0.903 0.7069 0.905 0.7126 0.905
0.8944 20 0.5453 0.919 0.5323 0.920 0.5263 0.921
𝜇=5.0 30 0.4439 0.928 0.4508 0.930 0.4467 0.929
𝛿=2.0 50 0.3781 0.934 0.3619 0.935 0.3576 0.934
𝑝𝑚𝑐 = 10 0.1030 0.908 0.0868 0.908 0.0849 0.907
0.4472 20 0.0926 0.916 0.0696 0.920 0.0689 0.919
𝜇=5.0 30 0.0793 0.925 0.0627 0.926 0.0611 0.927
𝛿=2.0 50 0.0674 0.934 0.0536 0.935 0.0523 0.935
of variable 𝑇 from 𝑡-distribution with parameter 𝑁 = 𝑛 + 2𝑎. Then an observation of parameter

3. Generate a realization √
𝑇 𝑆1 ∕(𝑛+1)
𝜇 is obtained by 𝜇 = √ + 𝜇1 .
𝑁
4. Repeat steps 2 and 3 (= 1000) times and obtain posterior samples of size  for parameters 𝜑 and 𝜇.
𝑟 𝑟
5. Using the above sequences obtained in step 4, we can obtain the sequence 𝐶𝑝𝑚 and the sequence 𝐶𝑝𝑚𝑐
6. After obtaining the posterior samples, the corresponding Bayes estimate of 𝐶𝑝𝑚 based on aforementioned loss func-
tions can be obtained from above MCMC algorithm. In a similar way, the Bayes estimate of 𝐶𝑝𝑚𝑐 under different loss
functions are obtained.
7. Chen and Shao59 suggested the algorithm by which we can get the 100(1 − 𝛾)% HPD credible interval of the indices
(𝑟) (𝑟)
𝐶𝑝𝑚 and 𝐶𝑝𝑚𝑐 , respectively. As calculated in step 5, the sorted sequences 𝐶𝑝𝑚 and 𝐶𝑝𝑚𝑐 for 𝑟 = 1, 2, … ,  can be used
to obtain the 100(1 − 𝛾)% HPD credible intervals of PCIs 𝐶𝑝𝑚 and 𝐶𝑝𝑚𝑐 , which are respectively obtained as follows:
(𝑟∗ ) (𝑟∗ +(1−𝛾)) (𝑟∗ ) (𝑟∗ +(1−𝛾))

[𝐶𝑝𝑚1 , 𝐶𝑝𝑚1 ], 2
[𝐶𝑝𝑚𝑐 2
, 𝐶𝑝𝑚𝑐 ]
SAHA et al. 421
TA B L E 7 BCIs (AWs and CPs) of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using CMEs of the parameters
𝑝𝑚 = 10 0.2097 0.834 0.1888 0.835 0.1883 0.834
0.6324 20 0.1855 0.889 0.1544 0.888 0.1534 0.888
𝜇=3.0 30 0.1586 0.911 0.1359 0.910 0.1352 0.910
𝛿=1.0 50 0.1388 0.926 0.1231 0.926 0.1214 0.925
𝑝𝑚𝑐 = 10 0.1084 0.840 0.0837 0.841 0.0826 0.840
0.3999 20 0.0823 0.891 0.0535 0.890 0.0526 0.889
𝜇=3.0 30 0.0577 0.910 0.0457 0.910 0.0438 0.909
𝛿=1.0 50 0.0414 0.927 0.0344 0.926 0.0325 0.928
𝑝𝑚 = 10 0.3408 0.890 0.3217 0.891 0.3153 0.890
0.5547 20 0.2726 0.910 0.2462 0.910 0.2424 0.909
𝜇=3.0 30 0.2270 0.920 0.2168 0.920 0.2076 0.919
𝛿=2.0 50 0.1962 0.926 0.1745 0.926 0.1672 0.926
𝑝𝑚𝑐 = 10 0.1162 0.891 0.1152 0.891 0.1134 0.890
0.3779 20 0.0877 0.913 0.0841 0.914 0.0818 0.913
𝜇=3.0 30 0.0681 0.921 0.0564 0.920 0.0549 0.920
𝛿=2.0 50 0.0472 0.928 0.0431 0.927 0.0420 0.927
𝑝𝑚 = 10 0.3517 0.804 0.3489 0.803 0.3477 0.802
0.8944 20 0.2744 0.881 0.2722 0.878 0.2427 0.877
𝜇=4.0 30 0.2692 0.905 0.2655 0.904 0.2332 0.904
𝛿=1.0 50 0.2269 0.924 0.2151 0.924 0.2146 0.924
𝑝𝑚𝑐 = 10 0.0618 0.804 0.0594 0.804 0.0578 0.803
0.4472 20 0.0534 0.880 0.0511 0.881 0.0491 0.880
𝜇=4.0 30 0.0489 0.906 0.0444 0.904 0.0404 0.905
𝛿=1.0 50 0.0420 0.928 0.0396 0.927 0.0365 0.928
𝑝𝑚 = 10 0.5188 0.891 0.5111 0.890 0.4822 0.888
0.7071 20 0.4234 0.916 0.3985 0.914 0.3732 0.910
𝜇=4.0 30 0.3478 0.923 0.3356 0.921 0.3287 0.921
𝛿=2.0 50 0.2743 0.929 0.2677 0.928 0.2568 0.928
𝑝𝑚𝑐 = 10 0.1236 0.902 0.1234 0.901 0.1154 0.902
0.4170 20 0.0822 0.914 0.1076 0.914 0.0977 0.912
𝜇=4.0 30 0.0797 0.921 0.0786 0.920 0.0699 0.920
𝛿=2.0 50 0.0644 0.928 0.0599 0.926 0.0569 0.927
𝑝𝑚 = 10 0.7716 0.802 0.7464 0.803 0.7456 0.802
1.4142 20 0.6623 0.878 0.6427 0.879 0.6422 0.878
𝜇=5.0 30 0.5735 0.904 0.5585 0.906 0.5581 0.906
𝛿=1.0 50 0.5229 0.918 0.5125 0.919 0.5117 0.918
𝑝𝑚𝑐 = 10 0.0547 0.803 0.0525 0.805 0.0514 0.804
0.4850 20 0.0388 0.890 0.0378 0.891 0.0359 0.890
𝜇=5.0 30 0.0339 0.915 0.0317 0.916 0.0308 0.915
𝛿=1.0 50 0.0233 0.927 0.0229 0.928 0.0214 0.927
𝑝𝑚 = 10 0.7237 0.906 0.7039 0.906 0.6988 0.905
0.8944 20 0.5425 0.921 0.5291 0.921 0.5239 0.920
𝜇=5.0 30 0.4608 0.926 0.4472 0.928 0.4426 0.927
𝛿=2.0 50 0.3761 0.934 0.3584 0.936 0.3539 0.935
(Continues)
422 SAHA et al.
𝑝𝑚𝑐 = 10 0.1014 0.909 0.0853 0.911 0.0824 0.910
0.4472 20 0.0888 0.923 0.0682 0.925 0.0671 0.924
𝜇=5.0 30 0.0755 0.927 0.0598 0.930 0.0593 0.929
𝛿=2.0 50 0.0630 0.934 0.0514 0.935 0.0489 0.936
TA B L E 8 BCIs (AW and CP) of PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using MPSEs
𝑝𝑚 = 10 0.2037 0.839 0.1848 0.838 0.1844 0.839
0.6324 20 0.1798 0.890 0.1514 0.884 0.1507 0.889
𝜇=3.0 30 0.1543 0.912 0.1323 0.910 0.1311 0.911
𝛿=1.0 50 0.1336 0.928 0.1121 0.927 0.1104 0.927
𝑝𝑚𝑐 = 10 0.1065 0.847 0.0807 0.844 0.0799 0.846
0.3999 20 0.0721 0.893 0.0479 0.892 0.0456 0.894
𝜇=3.0 30 0.0522 0.918 0.0393 0.911 0.0386 0.915
𝛿=1.0 50 0.0321 0.930 0.0307 0.928 0.0278 0.929
𝑝𝑚 = 10 0.3576 0.894 0.3187 0.891 0.3122 0.893
0.5547 20 0.2688 0.915 0.2421 0.913 0.2387 0.914
𝜇=3.0 30 0.2226 0.922 0.2143 0.922 0.2031 0.922
𝛿=2.0 50 0.1897 0.930 0.1696 0.930 0.1632 0.931
𝑝𝑚𝑐 = 10 0.1108 0.901 0.1069 0.898 0.1067 0.899
0.3779 20 0.0803 0.916 0.0744 0.917 0.0735 0.917
𝜇=3.0 30 0.0587 0.924 0.0494 0.924 0.0488 0.925
𝛿=2.0 50 0.0402 0.932 0.0329 0.931 0.0321 0.932
𝑝𝑚 = 10 0.3421 0.805 0.3404 0.805 0.3392 0.804
0.8944 20 0.2966 0.881 0.2937 0.880 0.2912 0.881
𝜇=4.0 30 0.2608 0.907 0.2576 0.907 0.2531 0.906
𝛿=1.0 50 0.2571 0.928 0.2056 0.927 0.2027 0.928
𝑝𝑚𝑐 = 10 0.0536 0.804 0.0511 0.803 0.0493 0.803
0.4472 20 0.0446 0.883 0.0408 0.883 0.0388 0.882
𝜇=4.0 30 0.0411 0.907 0.0389 0.907 0.0343 0.908
𝛿=1.0 50 0.0353 0.930 0.0299 0.930 0.0264 0.931
𝑝𝑚 = 10 0.5081 0.896 0.4962 0.895 0.4741 0.894
0.7071 20 0.3856 0.920 0.3766 0.920 0.3627 0.921
𝜇=4.0 30 0.3273 0.928 0.3122 0.930 0.3078 0.929
𝛿=2.0 50 0.2569 0.936 0.2504 0.935 0.2459 0.936
𝑝𝑚𝑐 = 10 0.1045 0.903 0.0977 0.902 0.0932 0.901
0.4170 20 0.0811 0.919 0.0759 0.921 0.0723 0.922
𝜇=4.0 30 0.0645 0.928 0.0621 0.929 0.0599 0.931
𝛿=2.0 50 0.0538 0.936 0.0508 0.935 0.0483 0.937
𝑝𝑚 = 10 0.7713 0.804 0.7461 0.803 0.7454 0.802
1.4142 20 0.6621 0.880 0.6426 0.880 0.6416 0.879
𝜇=5.0 30 0.5732 0.905 0.5583 0.906 0.5576 0.907
𝛿=1.0 50 0.5227 0.919 0.5123 0.920 0.5111 0.919
𝑝𝑚𝑐 = 10 0.0543 0.806 0.0522 0.807 0.0509 0.806
0.4850 20 0.0384 0.891 0.0375 0.892 0.0354 0.893
(Continues)
SAHA et al. 423
𝜇=5.0 30 0.0332 0.915 0.0312 0.917 0.0296 0.916
𝛿=1.0 50 0.0228 0.928 0.0224 0.930 0.0202 0.929
𝑝𝑚 = 10 0.7233 0.906 0.7035 0.908 0.6984 0.907
0.8944 20 0.5421 0.921 0.5288 0.922 0.5235 0.922
𝜇=5.0 30 0.4593 0.929 0.4467 0.932 0.4421 0.931
𝛿=2.0 50 0.3745 0.936 0.3579 0.937 0.3537 0.937
𝑝𝑚𝑐 = 10 0.1007 0.911 0.0846 0.913 0.0821 0.912
0.4472 20 0.0884 0.922 0.0677 0.925 0.0668 0.926
𝜇=5.0 30 0.0748 0.928 0.0592 0.930 0.0586 0.931
𝛿=2.0 50 0.0622 0.933 0.0507 0.936 0.0484 0.939
where 𝑟1∗ and 𝑟2∗ satisfy the following equations, respectively,
(𝑟∗ +(1−𝛾)) (𝑟∗ ) (𝑟+(1−𝛾)) (𝑟)

𝐶𝑝𝑚1 − 𝐶𝑝𝑚1 = min(𝐶𝑝𝑚 − 𝐶𝑝𝑚 )
𝑟
(𝑟∗ +(1−𝛾)) (𝑟∗ ) (𝑟+(1−𝛾)) (𝑟)

𝐶𝑝𝑚2 − 𝐶𝑝𝑚2 = min(𝐶𝑝𝑚𝑐 − 𝐶𝑝𝑚𝑐 )
𝑟
5.2 Simulation results using power as criterion
As complementary and application, the performance of different interval estimates can be compared by using an alterna-
tive criteria say statistical power of their respective equivalent two-sided hypothesis test in this part. Using the equivalence
relation between confidence interval construction and the associated two-sided hypothesis test, it is well noted that the
performance of the respective interval estimates could be evaluated by using statistical power where power is defined
as the probability of rejecting the null hypothesis when it is not true. In this illustration, various CPs were obtained
using 𝐿 = 0.0, 𝑇 = 6.0, 𝑈 = 12.0, (𝜇, 𝛿) = (3.0, 1.0) for 𝑝𝑚 with 0 = 15, 1 = 25, 2 = 20, and 𝑡 = 0.5. (These simu-
lation results are not provided for 𝑝𝑚𝑐 for the sake of simplicity and constrain of space.) Under these settings, one has
𝑝𝑚 = 0.6325
and the associated empirical power could be calculated for following testing
(𝑎) 𝐻0 ∶ 𝑝𝑚 = 0.6325 versus 𝑝𝑚 ≠ 0.6325,
by varying the true value of 𝜇 ∈ [1, 5] and fixed value of 𝛿 = 1. Therefore, the empirical power of the respective two-sided
hypothesis test is then obtained by calculating the percentage of the cases where the true value of 𝑝𝑚 = 0.6325 is not
included in the respective interval estimates constructed using the particular value of 𝜇. It is observed that when the true
value of 𝜇 = 3, the associated power will be close to the nominal level of the test, and for any other value of 𝜇 the power is
large since the null is then not true. Moreover, in this simulation, we also calculate the empirical power based on 10,000
repetitions, and the number of bootstrap samples was again set to 1,000 as done previously. For previously considered
parameter settings, we used sample sizes of both 𝑛 = 20 and 𝑛 = 50 in order to investigate whether a sample size effect
exists, and the associated power simulation results are summarized in Figure 1. From the plots shown in Figure 1, it is
observed that among all CIs, -boot, -boot, and  𝑝 -boot and HPD credible intervals, the Bayesian HPD credible inter-
vals perform better than all other six interval estimates (i.e., BCI using MPSE, WLSE, MLE, PCE, CME, LSE), respectively.
BCIs using MPSE, WLSE, MLE, and PCE have shown similar performance with that of empirical powers and are close
to each other. Moreover, one may also note that among all seven interval estimates of 𝑝𝑚 , the BCIs obtained by using
424 SAHA et al.
TA B L E 9 BEs and corresponding MSEs of PCIs 𝑝𝑚 and 𝑝𝑚𝑐

SLF MSLF LLF KLF
PCI/parameter 𝒏 BE MSE BE MSE BE MSE BE MSE
𝑝𝑚 = 0.632455 10 0.6063 0.0031 0.6070 0.0034 0.5998 0.0037 0.6052 0.0035
𝜇 = 3.0 20 0.6193 0.0018 0.6189 0.0021 0.6147 0.0019 0.6182 0.0017
𝛿=1 30 0.6234 0.0012 0.6236 0.0015 0.6201 0.0013 0.6226 0.0014
50 0.6268 0.0007 0.6272 0.0006 0.6247 0.0008 0.6263 0.0010
𝑝𝑚𝑐 = 0.399990 10 0.3912 0.0014 0.3914 0.0013 0.3906 0.0015 0.3911 0.0012
𝜇 = 3.0 20 0.3955 0.0007 0.3959 0.0004 0.3950 0.0006 0.3953 0.0009
𝛿=1 30 0.3969 0.0003 0.3964 0.0002 0.3968 0.0003 0.3965 0.0004
50 0.3980 0.0001 0.3983 0.0001 0.3978 0.0001 0.3980 0.0001
𝑝𝑚 = 0.554700 10 0.5680 0.0083 0.5678 0.0081 0.5477 0.0072 0.5628 0.0079
𝜇 = 3.0 20 0.5618 0.0039 0.5621 0.0041 0.5497 0.0038 0.5587 0.0040
𝛿=2 30 0.5593 0.0026 0.5597 0.0023 0.5508 0.0025 0.5571 0.0026
50 0.5585 0.0016 0.5581 0.0012 0.5531 0.0016 0.5571 0.0014
𝑝𝑚𝑐 = 0.377956 10 0.3762 0.0007 0.3763 0.0006 0.3734 0.0006 0.3755 0.0007
𝜇 = 3.0 20 0.3769 0.0004 0.3771 0.0005 0.3752 0.0004 0.3765 0.0003
𝛿=2 30 0.3772 0.0002 0.3775 0.0003 0.3759 0.0002 0.3769 0.0002
50 0.3777 0.0001 0.3779 0.0002 0.3770 0.0001 0.3775 0.0001
𝑝𝑚 = 0.894427 10 0.8263 0.0144 0.8260 0.0139 0.8089 0.0163 0.8219 0.0148
𝜇 = 4.0 20 0.8596 0.0072 0.8599 0.0070 0.8479 0.0078 0.8567 0.0073
𝛿=1 30 0.8711 0.0047 0.8714 0.0043 0.8624 0.0051 0.8689 0.0048
50 0.8803 0.0026 0.8801 0.0029 0.8747 0.0030 0.8789 0.0029
𝑝𝑚𝑐 = 0.447200 10 0.4347 0.0008 0.4345 0.0007 0.4340 0.0010 0.4345 0.0009
𝜇 = 4.0 20 0.4408 0.0005 0.4406 0.0006 0.4403 0.0007 0.4406 0.0008
𝛿=1 30 0.4429 0.0003 0.4431 0.0002 0.4426 0.0004 0.4428 0.0005
50 0.4446 0.0001 0.4448 0.0001 0.4444 0.0003 0.4445 0.0002
𝑝𝑚 = 0.707106 10 0.7295 0.0214 0.7297 0.0209 0.6930 0.0182 0.7200 0.0203
𝜇 = 4.0 20 0.7219 0.0103 0.7220 0.0107 0.6998 0.0093 0.7163 0.0099
𝛿=2 30 0.7164 0.0065 0.7168 0.0061 0.7008 0.0061 0.7124 0.0064
50 0.7125 0.0039 0.7131 0.0033 0.7027 0.0038 0.7100 0.0039
𝑝𝑚𝑐 = 0.417018 10 0.4130 0.0008 0.4131 0.0007 0.4104 0.0007 0.4124 0.0005
𝜇 = 4.0 20 0.4153 0.0005 0.4151 0.0005 0.4137 0.0006 0.4149 0.0004
𝛿=2 30 0.4156 0.0003 0.4159 0.0004 0.4145 0.0003 0.4154 0.0002
50 0.4161 0.0001 0.4163 0.0002 0.4154 0.0002 0.4159 0.0001
𝑝𝑚 = 1.414213 10 1.2654 0.0701 1.2656 0.0703 1.2126 0.0825 1.2517 0.0727
𝜇 = 5.0 20 1.3449 0.0361 1.3447 0.0359 1.3072 0.0401 1.3352 0.0368
𝛿=1 30 1.3691 0.0242 1.3689 0.0244 1.3408 0.0264 1.3617 0.0247
50 1.3859 0.0151 1.3861 0.0148 1.3674 0.0159 1.3812 0.0152
𝑝𝑚𝑐 = 0.485055 10 0.4738 0.0003 0.4736 0.0004 0.4733 0.0003 0.4737 0.0003
𝜇 = 5.0 20 0.4796 0.0001 0.4798 0.0002 0.4793 0.0002 0.4795 0.0001
𝛿=1 30 0.4815 0.0001 0.4814 0.0001 0.4812 0.0001 0.4814 0.0001
50 0.4828 0.0000 0.4827 0.0000 0.4827 0.0000 0.4828 0.0000
𝑝𝑚 = 0.894427 10 0.9493 0.0519 0.9490 0.0513 0.8875 0.0417 0.9334 0.0485
𝜇 = 5.0 20 0.9303 0.0242 0.9298 0.0236 0.8938 0.0209 0.9211 0.0231
𝛿=2 30 0.9179 0.0145 0.9188 0.0148 0.8931 0.0133 0.9117 0.0143
50 0.9123 0.0086 0.9114 0.0082 0.8935 0.0079 0.9082 0.0084
(Continues)
SAHA et al. 425
SLF MSLF LLF KLF
PCI/parameter 𝒏 BE MSE BE MSE BE MSE BE MSE
𝑝𝑚𝑐 = 0.447201 10 0.4437 0.0006 0.4440 0.0005 0.4419 0.0006 0.4435 0.0005
𝜇 = 5.0 20 0.4461 0.0003 0.4458 0.0004 0.4449 0.0003 0.4458 0.0003
𝛿=2 30 0.4464 0.0002 0.4467 0.0002 0.4456 0.0002 0.4462 0.0002
50 0.4471 0.0001 0.4470 0.0001 0.4466 0.0001 0.4470 0.0001
TA B L E 1 0 AWs and CPs of HPD credible intervals of PCIs 𝑝𝑚 and 𝑝𝑚𝑐
𝑪𝒑𝒎 0.6324 0.5547 0.8944 0.4170 1.4142 0.8944
(𝝁, 𝜹) (3.0, 1.0) (3.0, 2.0) (4.0,1.0) (4.0, 2.0) (5.0, 1.0) (5.0, 2.0)
𝒏 AW CP AW CP AW CP AW CP AW CP AW CP
10 0.1840 0.843 0.3083 0.901 0.3379 0.802 0.4712 0.898 0.7448 0.804 0.6908 0.908
20 0.1491 0.903 0.2335 0.931 0.2821 0.884 0.3595 0.926 0.6402 0.893 0.5186 0.926
30 0.1273 0.921 0.1945 0.940 0.2436 0.909 0.2991 0.938 0.5544 0.914 0.4298 0.939
50 0.1025 0.933 0.1535 0.940 0.1972 0.931 0.2349 0.941 0.4493 0.929 0.3383 0.942
𝐶𝑝𝑚𝑐 0.3999 0.3779 0.4472 0.4170 0.4851 0.4472
(𝜇, 𝛿) (3.0, 1.0) (3.0, 2.0) (4.0,1.0) (4.0, 2.0) (5.0, 1.0) (5.0, 2.0)
𝑛 AW CP AW CP AW CP AW CP AW CP AW CP
10 0.0489 0.844 0.0883 0.901 0.0489 0.802 0.0874 0.899 0.0404 0.806 0.0787 0.911
20 0.0386 0.904 0.0699 0.932 0.0379 0.885 0.0691 0.925 0.0298 0.897 0.0611 0.928
30 0.0327 0.922 0.0593 0.940 0.0319 0.910 0.0588 0.939 0.0246 0.918 0.0516 0.940
50 0.0262 0.933 0.0473 0.941 0.0254 0.932 0.0470 0.942 0.0193 0.930 0.0410 0.943
CME and LSE have relatively lower empirical power curves under different cases, which implies that these two interval
estimates feature lower CPs than others. Similar results also appear for PCI 𝑝𝑚𝑐 which are not reported here.
6 APPLICATIONS
In this section, we use two real data sets to demonstrate the performance of the point estimates of 𝑝𝑚 and 𝑝𝑚𝑐 using
different classical and Bayesian methods of estimation. Further, the width of BCIs (-boot, -boot and  𝑝 -boot) using
different classical methods of estimation and the width of HPD credible interval of the PCIs 𝑝𝑚 and 𝑝𝑚𝑐 using MCMC
samples are reported in Tables 11 and 12, respectively.
6.1 Data set I: Application of voltage of aluminum foil to an electronic company
The data set has been taken from Chen and Tong.60 The data set consists of 50 observations and it describes the voltage of
aluminum foil of an electronic company. Aluminum foil is one of the crucial components that determines the quality of
a capacitor. The voltage is an important quality characteristic of the aluminum foil. The production specifications of the
voltage are (LSL, 𝑇, USL) = (510, 520, 530). If the voltage falls outside this interval, the aluminum foil will break, and
thus will be rejected.
Fifty random samples are taken from suppliers, given below.
519.9, 519.5, 520.1, 517.0, 521.1, 517.1, 518.7, 520.1, 521.2, 521.7,
520.4, 517.9, 522.9, 517.7, 517.2, 520.7, 521.0, 519.1, 518.4, 518.9,
517.9, 518.4, 520.8, 519.3, 520.6, 516.6, 519.0, 520.6, 517.9, 519.6,
519.6, 522.6, 518.3, 522.1, 523.1, 519.9, 519.8, 520.7, 516.5, 521.5,
519.2, 521.2, 518.9, 517.8, 521.3, 521.3, 517.4, 519.5, 522.0, 523.8
Before progressing further, we first check whether the normal distribution could be used or not to analyze these real-life
data sets. By computation, the Kolmogorov–Smirnov (K–S) distance and the corresponding 𝑝-value are 0.0709 and 0.9562,
426 SAHA et al.
FIGURE 1 The empirical powers for 𝑝𝑚 under different sample sizes
respectively, which suggests that the normal model fits well the voltage data of the aluminum foil. Moreover, for further
illustration, the empirical CDFs plot and overlaid the theoretical normal distribution, the probability–probability (P–P)
and the quantile–quantile (Q–Q) plots are shown in Figure 2, which also imply that the normal distribution can be used as
a proper model to fit this data set. To address the Bayesian estimation, it is reasonable to set the hyper parameter values as
𝜇0 = 515, 𝑎 = 2, 𝑏 = 0.5 for the specifications (LSL, USL) = (510, 530), the mean 𝑥̄ = 519.76, and the standard deviation
SAHA et al. 427
TA B L E 1 1 Classical estimates of 𝑝𝑚 , 𝑝𝑚𝑐 and widths of BCIs based on data sets I and II [0 = 15, 1 = 25, 2 = 20, and 𝑡 = 0.50]
Data Methods of Classical estimates Widths of BCIs
set estimation of 𝒑𝒎 and 𝒑𝒎𝒄 -boot  -boot  𝒑 -boot
I MLE ̂𝑝𝑚
mle
=1.9242 0.7952 0.7709 0.7686
̂𝑝𝑚𝑐
mle
=0.7423 0.0934 0.0916 0.0912
LSE ̂𝑝𝑚
olse
=1.9289 0.7765 0.7714 0.7787
̂𝑝𝑚𝑐
olse
=0.7432 0.0939 0.0919 0.0915
WLSE ̂𝑝𝑚
wlse
=1.9237 0.7942 0.7707 0.7685
̂𝑝𝑚𝑐 =0.7424
wlse
0.0933 0.0915 0.0913
PCE ̂𝑝𝑚
cme
=1.9233 0.7963 0.7711 0.7686
̂
𝑝𝑚𝑐 =0.7422
cme
0.0935 0.0917 0.0914
̂𝑝𝑚 =1.9289
mpse
CME 0.7964 0.7713 0.7687
̂𝑝𝑚𝑐 =0.7431
mpse
0.0935 0.0916 0.0914
MPSE ̂𝑝𝑚
ade
=1.9168 0.7934 0.7702 0.7682
̂
𝑝𝑚𝑐 =0.7426
ade
0.0932 0.0915 0.0912
II MLE ̂𝑝𝑚
mle
=1.6954 0.1608 0.1588 0.1579
̂
𝑝𝑚𝑐 =1.6893
mle
0.1591 0.1572 0.1567
LSE ̂𝑝𝑚
olse
=1.6969 0.1614 0.1589 0.1581
̂
𝑝𝑚𝑐 =1.6895
olse
0.1601 0.1574 0.1568
WLSE ̂𝑝𝑚
wlse
=1.6955 0.1607 0.1587 0.1579
̂
𝑝𝑚𝑐 =1.6892
wlse
0.1589 0.1571 0.1566
PCE ̂𝑝𝑚
cme
=1.6955 0.1611 0.1589 0.1581
̂
𝑝𝑚𝑐 =1.6893
cme
0.1592 0.1572 0.1569
̂𝑝𝑚 =1.6966
mpse
CME 0.1611 0.1588 0.1579
̂𝑝𝑚𝑐 =1.6894
mpse
0.1598 0.1574 0.1567
MPSE ̂𝑝𝑚
ade
=1.6954 0.1599 0.1584 0.1577
̂
𝑝𝑚𝑐 =1.6888
ade
0.1586 0.1567 0.1562
TA B L E 1 2 Bayes estimates of 𝑝𝑚 , 𝑝𝑚𝑐 and widths of HPD credible intervals based on data sets I and II [0 = 15, 1 = 25, 2 = 20, and
𝑡 = 0.50]
Bayes estimates HPD credible intervals
Data set PCIs SLF LLF MSLF KLF Widths
I 𝑝𝑚 1.8988 1.8991 1.8637 1.8900 0.7115
𝑝𝑚𝑐 0.7834 0.7822 0.7819 0.7822 0.0517
II 𝑝𝑚 1.6617 1.6613 1.6598 1.6613 0.1552
𝑝𝑚𝑐 1.6608 1.6605 1.6586 1.6600 0.1549
FIGURE 2 Empirical distribution and fitted normal models, P–P and Q–Q plots under voltage data of the aluminum foil
428 SAHA et al.
FIGURE 3 Empirical distribution and fitted normal model, P–P and Q–Q plots for STN display data
√
var(𝑥) = 1.77. For the tolerance cost 𝑀 (𝑡), the coefficients are specified by 0 = 15, 1 = 25, and 2 = 20. Based on the
above specifications, Bayes estimates of 𝑝𝑚 and 𝑝𝑚𝑐 under different loss functions are presented in Table 12.
6.2 Data set II: Application of the novel procedure to a color STN display process
The data set involves a color super twist nematic (STN) display and was taken from a manufacturing industry in Taiwan
which was originally discussed by Chen and Chen.61 Color STN displays are created by adding color filters to traditional
monochrome STN displays. The specification limits are 12, 000 ± 500 𝐴0 (where, 1 𝐴0 = 10−7 mm), that is, the upper
and the lower specification limits are set to USL = 12, 500, LSL = 11, 500 and the target value is set to 𝑇 = 12, 000. If the
thickness of membrane does not fall within the tolerance (LSL, USL), color STN display will suffer chromatic aberration.
12, 093, 12, 130, 12, 105, 12, 088, 12, 115, 12, 086, 12, 099, 12, 084, 12, 114, 12, 125, 12, 102, 12, 092,
12, 120, 12, 062, 12, 087, 12, 092, 12, 095, 12, 078, 12, 133, 12, 090, 12, 114, 12, 114, 12, 114, 12, 080,
12, 097, 12, 105, 12, 094, 12, 086, 12, 108, 12, 138, 12, 103, 12, 094, 12, 120, 12, 090, 12, 083, 12, 068,
12, 106, 12, 056, 12, 108, 12, 107, 12, 100, 12, 133, 12, 094, 12, 067, 12, 108, 12, 114, 12, 101, 12, 082,
12, 094, 12, 076, 12, 099, 12, 107, 12, 109, 12, 101, 12, 093, 12, 038, 12, 086, 12, 084, 12, 128, 12, 122.
In this illustrative example, we also check the goodness-of-fit for this data set. It is noted that the K–S distance and the
associated 𝑝-value are 0.0639 and 0.9618 which implies that the normal distribution could be used as a proper model to
describe this data set. Moreover, the empirical cumulative distributions plot and overlaid the theoretical normal distri-
bution, the P–P and the Q–Q plots shown in Figure 3 also suggest that the normal model could fit this data set well. For
the given Data Set II, the hyper parameter values are specified as 𝜇0 = 12, 100, 𝑎 = 2, 𝑏 = 0.5, 𝜏 = 0.0005. For the toler-
ance cost 𝑀 (𝑡), the coefficients are specified by 0 = 15, 1 = 25, and 2 = 20. Based on the above specifications, Bayes
estimates of 𝑝𝑚 and 𝑝𝑚𝑐 under different loss functions are reported in Table 12.
7 CONCLUSIONS
In this paper, first we have obtained point estimates of the PCI 𝑝𝑚 and cost effective PCI 𝑝𝑚𝑐 based on six different
classical methods of estimation for the normal distribution. In this regard, we have considered the MLEs, LSEs, WLSEs,
PCEs, CMEs, and MPSEs to obtain the estimates of the PCIs, 𝑝𝑚 , and 𝑝𝑚𝑐 . As it is not feasible to compare these methods
theoretically, we have performed an extensive simulation study to compare these methods with different sample sizes and
combinations of the unknown parameters. Next, we have considered Bayesian estimation of the indices 𝑝𝑚 and 𝑝𝑚𝑐 .
Bayes estimates are obtained using four different loss functions. Besides, point estimation, we have also considered three
BCIs (-boot, -boot,  𝑝 -boot) and HPD credible intervals for the indices 𝑝𝑚 and 𝑝𝑚𝑐 . Simulation results suggest
that Bayes estimators perform better than the considered classical methods of estimation. It is worth mentioning that the
choice of hyper-parameters of the prior distributions need to be carefully chosen. Among classical methods of estimation,
MPSE gives the best results in terms of MSEs for almost all sample sizes. In real data analysis for both the data sets, the
Bayesian method of estimation gives smallest widths of CIs among all the methods of estimation. Furthermore, in order to
illustrate the effectiveness of our bootstrap methodologies more clearly, we compared the power of the bootstrap methods.
The analysis indicates that power of the bootstrap methodologies is consistently greater than that of the considered boot-
SAHA et al. 429
strapping methodologies. Besides, we observe that when 𝜇 = 5 and 𝛿 = 1, 𝑝𝑚 = 1.4142 which indicates that the process
is capable. Conversely, a smaller value of 𝑝𝑚 implies higher expected loss, lower process yield and poor process capability.
AC K N OW L E D G E M E N T S
The authors would like to thank the editor and the associate editor of the journal, and two anonymous Reviewers for their
constructive suggestions which helped us to improve the earlier version of this manuscript. This work was supported by
National Natural Science Foundation of China (Nos. 12061091, 11501433) and China Postdoctoral Science Foundation (No.
2019M650260).
ORCID
Mahendra Saha https://orcid.org/0000-0002-0819-5696
Sanku Dey https://orcid.org/0000-0002-6900-8233
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AU T H O R B I O G R A P H I E S
Mahendra Saha is currently working as an Assistant Professor in the Department of Statistics, Central University of
Rajasthan, Rajasthan, India. He did his M.Sc. in Statistics in the year 2007 from Visva-Bharati University, Santiniketan,
India and Ph.D. in Statistics in the area of Statistical Quality Control in the year 2012 from the same University. He has
contribution in the area of distribution theory, reliability theory and survival analysis, Bayesian inference, generalized
lifetime performance and estimation under censoring scheme along with statistical quality control.
Sanku Dey is currently workings as an Associate Professor in the Department of Statistics, St. Anthony’s College,
Shillong, Meghalaya, India. He did his M.Sc. in Statistics in the year of 1991 from Gauhati University, Guwahati, India
and Ph.D. in Statistics (reliability theory) in the year 1998 from the same university. He has published more than 187
research papers in the journals of repute. He reviewed more than 320 research papers for various well reputed inter-
national journals. He is an associate editor of American Journal of Mathematical and Management Sciences and also
the member of editorial board of several international journals of repute. He has a good number of contributions in
almost all fields of Statistics, namely, distribution theory, discretization of continuous distribution, reliability theory,
multicomponent stress-strength reliability, survival analysis, Bayesian inference, record statistics, statistical quality
control, order statistics, lifetime performance index based on classical and Bayesian approach as well as different types
of censoring schemes etc.
Liang Wang received his B.S. degree in Mathematics and Applied Mathematics from Northwest University, Shaanxi,
China, in 2002, and his M.S. and Ph.D. degree in Applied Mathematics from Northwestern Polytechnical University,
Xi’an, China, in 2008 and 2012, respectively. He is currently an Associate Professor with the School of Mathemat-
ics, Yunnan Normal University, Kunming, China. His research interests include modeling and statistical analysis of
incomplete reliability data, life testing, and design of testing plans.
How to cite this article: Saha M, Dey S, Wang L. Parametric inference of the loss based index 𝑝𝑚 for normal
distribution. Qual Reliab Eng Int. 2022;38:405–431. https://doi.org/10.1002/qre.2987

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Received: 6 July 2020 Revised: 12 October 2020 Accepted: 10 December 2020

Parametric inference of the loss based index 𝒑𝒎 for normal

1Department of Statistics, Central

𝑄(𝑝 ∣ 𝜇, 𝛿) = 𝐹 −1 (𝑝 ∣ 𝜇, 𝛿); 0 < 𝑝 < 1. (2.5)

2.1 Maximum likelihood estimator

The logarithm of Equation (2.6) can be expressed as

2.2 Ordinary and weighted least square estimators

we can get the estimators of 𝑝𝑚 , 𝑝𝑚𝑐 as

respectively. The WLSEs of the parameters 𝜇, 𝛿 can be obtained by minimizing

2.3 Percentile estimator

2.4 Cramèr-von-Mises estimator

2.5 Maximum product of spacings estimator

𝑖 (𝜇, 𝛿) = 𝐹(𝑦(𝑖∶𝑛) ∣ 𝜇, 𝛿) − 𝐹(𝑦(𝑖−1∶𝑛) ∣ 𝜇, 𝛿) 𝑖 = 1, 2, ⋯ , 𝑛 + 1 (2.27)

The MPSEs are obtained by solving the following non-linear equations

3 BOOTSTRAP CONFIDENCE INTERVALS

respectively. A 100(1 − 𝛾)% -boot CI of 𝑝𝑚 is given by

where 𝑛 is an indicator function. Then, a 100(1 − 𝛾)% -boot CI of 𝑝𝑚 is

Now, calculate Ψ0 = Φ−1 (0 ) and 𝜓𝑙 and 𝜓𝑢 are defined as

Then, 100(1 − 𝛾)%  𝑝 -boot CI of 𝑝𝑚 is

TA B L E 1 Bayes estimator under different loss functions

5.1 Simulation results using nominal coverage as the criterion

1. Set the initial guess value {𝜑(0) , 𝜇(0) }.

TA B L E 2 Classical estimates and corresponding MSEs of PCIs 𝑝𝑚 and 𝑝𝑚𝑐

of variable 𝑇 from 𝑡-distribution with parameter 𝑁 = 𝑛 + 2𝑎. Then an observation of parameter

(𝑟∗ ) (𝑟∗ +(1−𝛾)) (𝑟∗ ) (𝑟∗ +(1−𝛾))

where 𝑟1∗ and 𝑟2∗ satisfy the following equations, respectively,

(𝑟∗ +(1−𝛾)) (𝑟∗ ) (𝑟+(1−𝛾)) (𝑟)

(𝑟∗ +(1−𝛾)) (𝑟∗ ) (𝑟+(1−𝛾)) (𝑟)

5.2 Simulation results using power as criterion

(𝑎) 𝐻0 ∶ 𝑝𝑚 = 0.6325 versus 𝑝𝑚 ≠ 0.6325,

TA B L E 9 BEs and corresponding MSEs of PCIs 𝑝𝑚 and 𝑝𝑚𝑐

6.1 Data set I: Application of voltage of aluminum foil to an electronic company

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