Parameter estimation of Inverted Exponential distribution with informative

priors under symmetric loss functions

Muhammad Zeeshan Munir and Dr. Muhammad Zafar Iqbal

Abstract

Inverted exponential distribution (IED) act as life time model that is useful for modeling real life
situations in medical, insurance and engineering. IED is much ambitious as compared to the exponential
distribution as it attains the inverted failure rate models. The properties of IED such as Survival function
and Hazard function are also accompalished.The parameter of IED is estimated by using distinct classical
methods such as Least Square Method (LSM) and Maximum Likelihood Estimator method (MLE).
Elegant Bayes estimators are also derived using informative priors such as Gamma Prior and Exponential
Prior under different symmetric loss functions including Square error loss function (SELF), Quadratic
loss function (QLF) and Entropy loss function (ELF). Finally, the comparison is conducted for simulated
data under the classical and Bayesian estimators. Among these observations it is concluded that Bayesian
approach shows better behavior than classical estimators depending on their Mean square error (MSE)
and Mean absolute percentage error (MAPE). R-software is used to execute the numerical calculations.

Keywords: Inverted Exponential Distribution (IED), Least Square Estimator (LSE), Maximum likelihood
estimator (MLE), Square Error loss function (SELF), Quadratic loss function (QLF), Entropy loss
function (ELF).

1- Introduction

The inverted exponential distribution developed by Keller and Kamath (1982) , is a life testing model. IED is a
member of continuous probability distributions. The major difference between the exponential and IED is that , in
case of ED the interest is to always on the constant failure rate (Lemonte , 2013) that is disadvantage because for
that reason the distribution become unsuitable for modeling real life situations with bathtub and inverted bathtub
failure rate [1]. Rather than IED has the capability to attain the inverted failure rate modeles during the time duration
process. In (2013) Singh et al. discuss the behavior of IED in real life fields e.g. medicine field, business field and
insurance etc [2].

In (1989) Lin et al. appraised the Bayesian form of the classical estimators for IED under complete sample study [3].
In (2015), Al-Noor and Bawi evaluate the estimates for IED under classical and non-classical approach as well [4].
The bayes estimators undergeneral entropy loss function are also derived under Bayesian decision theoretic
approach. The behavior of estimators are also judge under simulation study.
In this paper extensive study conducted on the IED , also explain their relative properties under different aspects.
Parameter estimation conducted under classical and Bayesian approach . We have assumed Inverted gamma prior,
size biased inverted gamma prior , exponential prior and size biased exponential prior taken as their informative
priors. Different symmetric loss functions also take into account to achieve some specific goals.

1.1 Pdf and Cdf

A continuous r.v ‘X’ is said to be Inverted exponential distribution with parameter ∅ . And their probability density
function and cumulative density functions given as respectively.

f ( x ; ∅ )=¿

Where x=0 , 1 , 2, … … ∞ ,∅ >0 , where ∅ is the scale parameter.

The plot for the pdf of IED for various values of parameter ∅ is shown in figure 1;

The Cumulative density function (CDF) is.

F ( x ; ∅ )=exp ( ∅−1. x )(2)

The plot for the cdf of IED for various values of parameter ∅ is shown in figure 2;

Figure 1: Plot for PDF Figure 2: Plot for CDF

 2- Properties of IE distribution

2.1- Reliability Analysis

In this section, presented the reliability function which is also known as survival function. [5] Survival function is an
specialized type of mathematical statistics developed to study a special type of random variable of positive values
with censored observations of which survival time events are most common (Ma and Krings,2008).

Generally, its mathematical representation is given as:

S ( x )=Pr ( X > x )

S ( x )=1−Pr ( X ≤ x )

S ( x )=1−F ( x)
Hence reliability function of IE distribution as;

S IE ( x )=1−exp ( ∅−1. x )(3)

The plot for the reliability function of IED for various values of parameter ∅ is shown in figure 3;

Figure 3: Plot for the reliability function of IE Distribution

2.2- Hazard Function

Hazard rate is an important tool of survival analysis that describes the immediate risk of failure at a given time point.
The hazard rate of a random variable X with pdf f (x) and cdf F (x) is [6]:

f (x )
h ( x )=
1−F (x)
Hazard rates will be evaluated for different parameter points (Tiwari et al. 2006).

Hence hazard function of IE distribution as;

1
( )
()
2
1 x
h IE ( x )= . (4 )
∅
exp ( )
−1
∅. x
−1

The plot for the hazard function of IED for various values of parameter ∅ is shown in figure 4;

Figure 4: Plot for the hazard function of IE Distribution

3- Estimation of Parameter
3.1 Maximum Likelihood Estimation
In this section MLE of inverted exponential distribution (∅ ¿ is considered, where ∅ is unknown. If x 1 , x 2 , … … x n
is a random sample from IED (∅ ¿ then likelihood function L ( ∅ ) is given by

L( ∅ , x1 , x2 , … … x n ) = f (x 1 , x 2 , … … x n∨∅ )
n
L ( ∅| x )=∏ f (x i∨ ∅ )
i=1

n n −1
1 1
¿
∅n
∏ 2∏
x i i−1
e ∅ x (5)
i=1

The MLE of ∅ refer as ∅^ MLE obtained by taking derivative of natural log- likelihood function and put it equal to
zero .
n n
1 1
logLf ( x )=−nlog ∅ −2 ∑ log x i− ∑
i=1 ∅ x i=1 i

n
t 1
∅^ MLE=( ) ; Where t=∑
n i=1 xi

3.2 Least Square Estimation

The least square estimator can be obtained by minimizing.

n

∑ {¿ ¿
i=1

Where unknown parameter is ' ∅ ' .

(∅ )
n
−1 i 2
∑ {exp −
. x ( i) n+1
}
i=1

Differentiate above equation with respect to ' ∅ ' and equating to zero we have non-linear equation which is given by
Johnson et al. (2013).

∅^ LSE =
−∑
n
exp
( )∑ ( )
−2
∅ . x ( i)
+
n
exp
−1
∅ . x (i )
.
i
=0
i=1 x (i) i=1 x (i ) n+1

We can use Newton- Raphson method to solve the non-linear equation [7].

3.3 Bayesian Estimation

In this section discussed about the Bayesian approach in which parameter of interest is considered as random
variable. For approaching towards Bayesian theoretic approach, prior distribution theory shall take into account. It
contains informative and non-informative priors but our interest based on informative priors.

1 Gamma Prior
The pdf of gamma prior is defined as:-
α
β α −1 − β ∅
γ 2 ( ∅ )= .∅ . e ; ∅ >0 , α , β >0 (7)
ᴦα

2 Exponential Prior
The pdf of Exponential prior is defined as:-
− ∅ .δ
γ 3 ( ∅ )=∅ . e ; ∅ >0 , δ >0(8)
So the posterior distribution corresponding to each prior as:-

w 1 ( ∅|x )=¿¿

Which implies that: (∅ |x ) IG(n−α , β+t )

w 2 ( ∅|x )=¿ ¿

Which implies that: (∅ |x ) IG(n−2 , δ + t)

3.4 Bayes Estimators under SELF

The square error loss function (SELF) was proposed by Legendre (1805) and Gauss (1810). It is defined as:

Lh ( ∅^
h , ∅ ) =¿

Where bayes estimator of ∅ his defined as:

∅ h=E w ( ∅ ∨x )

 Corresponding to w 1 ( ∅|x ) :-

(β+ t)
∅^s 1= (12)
(n−α−1)

 Corresponding to w 2 ( ∅|x ) :-
 (δ+ t)
∅^s 2= (13)
(n−3)
3.5 Bayes Estimators under ELF
The Entropy loss function was proposed by James and stein. It is defined as :-

L ( ∅ , ∅ ELF ) =w
[( ) ( ) ]
∅ ELF
∅
−ln
∅ ELF
∅
−1 (14)

Where the bayes estimator of ∅ ELF is defined as:

∅ ELF =¿

Now the bayes estimator for the parameter of ∅ under Entropy loss function corresponding to the three posterior
distributions are given below.

 Corresponding to w 1 ( ∅|x ) :-

From (9) ( ∅|x ) IG (n−α , β+ t)

→ ( 1∅|x ) G (n−α , β+t )

Therefore,

(β+t )
∅ E 1= (15)
(n−α )

 Corresponding to w 2 ( ∅|x ) :-

From (10) ( ∅|x ) IG (n−2, δ +t)

→ ( 1∅|x ) G (n−2 , δ+ t)
Therefore,

( δ+t)
∅ E 2= (16)
(n−2)
3.6 Bayes Estimators under QLF
A new symmetric loss function named as Quadratic loss function(QLF) was defined as:

L ( ∅ , ∅QLF )=¿

Where the Bayes estimator of ∅ QLF is defined as:

 ∅ QLF =E ( 1∅|X ¿ E ( 1¿∨X )
∅2
Thus the Bayes estimators on the basis of parameter ∅ under under distinct posterior density functions are.

 Corresponding to w 1 ( ∅|x ) :-

From (9) ( ∅|x ) IG (n−α , β+ t)

→ ( 1∅|x ) G (n−α , β+t )

So,
( β+t )
∅ Q 1= (18)
(n−α +1)

 Corresponding to w 2 ( ∅|x ) :-

From (10) ( ∅|x ) IG (n−2, δ +t)

→ ( 1∅|x ) G (n−2 , δ+ t)
Hence,
(δ+ t)
∅ Q 2= (19)
(n−1)
4- Simulation Analysis

A comprehensive simulation study conducted for different parameter points to highlight the performance of
estimators ∅^ MLE , ∅^ LSE , ∅^s 1 , ∅^s 2 , ∅ E 1 , ∅ E 2 , ∅Q 1 , ∅ Q 2 using Mean square error (MSE) and Mean absolute
percentage error (MAPE) procedure under different sample size.

MSE(∅^ ¿=E ¿

MAPE(∅^ ¿=E ( |∅ − ^∅|

∅ )(21)
In our study 10,000 samples have been comprised for each case.
Table 1. Comparison of MLE with LSE under ∅ =1 , 1.5 , 3

MLE LSE

∅ n Estimate MSE MAPE Estimate MSE MAPE

10 0.961 0.0304 0.896 0.976 0.098 0.249
15 0.908 0.0266 0.610 1.029 0.064 0.193
1 25 1.020 0.0081 0.451 0.998 0.056 0.088
30 1.267 0.0088 0.489 1.391 0.263 0.230
50 1.135 0.0032 0.271 1.201 0.086 0.403
10 1.467 0.046 0.554 1.491 0.128 0.069
15 1.400 0.0241 0.444 1.478 0.607 0.097
25 1.445 0.041 0.616 1.510 0.115 0.027
1.5 30 1.514 0.009 0.102 1.586 0.043 0.191
50 1.564 0.004 0.086 1.612 0.069 0.149
10 2.816 0.089 0.611 3.025 0.102 0.083
 15 3.024 0.052 0.514 2.969 0.429 0.068
3 25 2.886 0.022 0.491 3.167 0.064 0.226
30 3.221 0.059 0.552 3.561 0.083 0.623
50 3.268 0.009 0.179 3.396 0.032 0.264

From table 1, it is noted that if the sample size is small then the values of LSE Perform better as it is close to the true
value of the parameter. But when sample size increases the values of MLE performs better than LSE as it become
closer to the true value. Also the MSE and MAPE both are shows decreasing behavior as the sample size increases.

Table 2. Values For the Bayes Estimator of ∅ Under Gamma Prior Using
( α =5 , β=5 ) , ( α =4 , β=3 ) ,(α =6 , β=10)

∅ n Estimate MSE MAPE

Self Qlf Elf Self Qlf Elf Self Qlf Elf
1.029 0.841 1.075 0.123 0.671 0.522 0.751 0.158 0.297
10
0.998 0.835 0.851 0.082 0.102 0.291 0.020 0.164 0.348
1.154 1.329 1.252 0.027 0.093 0.185 0.345 0.329 0.395
0.927 1.036 1.142 0.062 0.098 0.547 0.481 0.242 0.946
1 15
1.010 0.878 0.954 0.136 0.043 0.404 0.109 0.813 0.306
1.266 1.364 1.482 0.034 0.092 0.399 0.778 0.866 0.321
0.971 1.021 1.072 0.096 0.160 0.157 0.116 0.085 0.291
25
0.922 0.894 0.926 0.055 0.081 0.083 0.712 0.424 0.294
1.302 1.322 1.392 0.052 0.054 0.062 0.728 0.729 0.356
0.977 0.901 0.938 0.254 0.094 0.070 0.076 0.327 0.206
30
0.958 0.794 0.825 0.246 0.043 0.196 0.473 0.685 0.583
1.036 1.138 1.185 0.064 0.014 0.030 0.789 0.461 0.616
1.010 1.019 1.032 0.080 0.098 0.023 0.020 0.018 0.064
 50 0.943 0.965 0.996 0.068 0.079 0.020 0.113 0.071 0.089
1.052 1.143 1.169 0.050 0.029 0.009 0.304 0.286 0.338
1.502 1.435 1.442 0.091 0.192 0.108 0.316 0.433 0.386
10
1.492 1.458 1.535 0.453 0.083 0.255 0.386 0.289 0.233
1.534 1.569 1.671 0.195 0.014 0.084 0.226 0.468 0.411
1.522 1.568 1.545 0.091 0.089 0.073 0.186 0.302 0.111
15
1.494 1.470 1.477 0.183 0.094 0.129 0.468 0.392 0.129
1.5
1.543 1.622 1.691 0.038 0.085 0.038 0.491 0.542 0.848
1.484 1.440 1.512 0.090 0.038 0.377 0.176 0.160 0.032
25
1.396 1.384 1.428 0.038 0.019 0.496 0.277 0.309 0.192
1.591 1.576 1.685 0.080 0.036 0.272 0.509 0.380 0.493
1.510 1.498 1.536 0.088 0.052 0.046 0.022 0.044 0.081
30
1.471 1.389 1.394 0.114 0.160 0.164 0.064 0.146 0.235
1.617 1.573 1.608 0.093 0.142 0.035 0.261 0.162 0.246
1.505 1.484 1.472 0.036 0.074 0.053 0.006 0.021 0.037
50
1.427 1.396 1.416 0.017 0.020 0.128 0.097 0.136 0.112
1.656 1.583 1.619 0.051 0.061 0.051 0.208 0.161 0.158
2.835 2.891 3.068 0.312 0.298 0.642 0.550 0.363 0.226
3 10
2.796 2.762 2.922 0.404 0.419 0.103 0.682 0.793 0.593
3.154 3.252 3.089 0.170 0.302 0.226 0.695 0.840 0.296
15 3.148 3.069 3.034 0.088 0.638 0.116 0.328 0.068 0.522
2.864 2.892 2.849 0.229 0.566 0.082 0.302 0.240 0.335
3.364 3.284 3.269 0.481 0.134 0.064 0.364 0.631 0.597
3.017 2.825 2.967 0.336 0.101 0.567 0.022 0.233 0.044
25
2.767 2.706 2.873 0.348 0.074 0.837 0.310 0.392 0.169
3.346 3.217 3.386 0.332 0.047 0.134 0.461 0.289 0.514
30 2.896 3.183 3.013 0.104 0.288 0.196 0.115 0.014 0.148
2.694 2.827 2.936 0.321 0.094 0.078 0.340 0.192 0.071
3.232 3.334 3.318 0.073 0.098 0.041 0.257 0.371 0.386
3.189 3.051 3.018 0.028 0.079 0.033 0.126 0.034 0.078
50
3.074 2.943 3.007 0.043 0.050 0.121 0.293 0.038 0.099
3.380 3.229 3.303 0.017 0.066 0.073 0.353 0.152 0.202
From table 2, It is noted that when the hyper-parameters value increases then the estimates behave as overestimates.
Also the Bayes estimates in square error loss function (SELF) are approaches to true parameter for parameter value
∅ =1 , 1.5 . But for parameter ∅ =3 the Bayes estimates under entropy loss function (ELF) are near to the true
value of parameter.

Table 3. Values for the Bayes Estimator of ∅ Under Exponential Prior Using ∅ =1 , 1.5 , 3

∅ n Estimate MSE MAPE

Self Qlf Elf Self Qlf Elf Self Qlf Elf
10 1.463 2.081 1.888 0.229 0.341 0.534 0.463 0.810 0.588
15 1.083 1.755 2.022 0.167 0.228 0.424 0.553 0.681 0.581
1
25 1.799 1.981 1.928 0.136 0.233 0.312 0.392 0.319 0.372
30 1.124 2.114 1.921 0.027 0.019 0.118 0.374 0.371 0.307
50 2.104 2.063 2.059 0.148 0.015 0.110 0.221 0.212 0.211
10 3.497 2.811 3.032 0.252 0.272 0.558 0.133 0.096 0.102
15 3.024 2.031 2.874 0.250 0.218 0.342 0.067 0.068 0.061
1.5
25 2.891 2.266 2.869 0.276 0.211 0.219 0.037 0.039 0.036
30 3.069 3.055 3.996 0.225 0.108 0.104 0.034 0.035 0.033
50 2.978 2.924 3.085 0.224 0.249 0.095 0.019 0.018 0.021
10 3.297 3.779 3.136 0.419 0.298 0.228 0.099 0.025 0.023
3 15 3.515 3.661 3.123 0.411 0.526 0.894 0.089 0.014 0.018
25 3.890 3.898 4.176 0.406 0.428 0.359 0.051 0.011 0.017
30 4.328 4.247 3.726 0.389 0.356 0.156 0.041 0.013 0.008
 50 4.389 4.186 4.056 0.340 0.198 0.147 0.009 0.007 0.006

From table 3, Corresponding to the values of different loss functions under exponential prior shows the overestimate
values of Bayes estimate under all sample size. Distinct sample sizes and parameter values are allocated. Under keen
observation it is noted that Entropy loss function (ELF) performs better than all other loss functions.

5- Conclusion

From the above analysis it is concluded that the Bayesian approach performs better than the classical approach as
their Mean square error (MSE) and Mean absolute percentage error (MAPE) shows much consistency.

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