A new flexible hazard rate distribution: Application and estimation of its parameters

ABSTRACT

We introduce a new class of flexible hazard rate distributions which have constant, increasing, decreasing, and bathtub-shaped hazard function. This class of distributions obtained by compounding the power and exponential hazard rate functions, which is called the power-exponential hazard rate distribution and contains several important lifetime distributions. We obtain some distributional properties of the new family of distributions. The estimation of parameters is obtained by using the maximum likelihood and the Bayesian methods under squared error, linear-exponential, and Stein’s loss functions. Also, approximate confidence intervals and HPD credible intervals of parameters are presented. An application to real dataset is provided to show that the new hazard rate distribution has a better fit than the other existing hazard rate distributions and some four-parameter distributions. Finally , to compare the performance of proposed estimators and confidence intervals, an extensive Monte Carlo simulation study is conducted.

Keywords:

• Bayes estimation
• Hazard rate function
• HPD credible interval
• Maximum likelihood estimation
• MCMC methods
• Power-exponential hazard rate distribution

Mathematics Subject Classification:

• 60E05
• 62-07
• 62F10
• 62F15