Robust Reliability Estimation for Lindley Distribution—A Probability Integral Transform Statistical Approach

Muhammad Aslam Mohd Safari, Nurulkamal Masseran and Muhammad Hilmi Abdul Majid
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Muhammad Aslam Mohd Safari: Department of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Bangi 43600, Selangor, Malaysia
Nurulkamal Masseran: Department of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Bangi 43600, Selangor, Malaysia
Muhammad Hilmi Abdul Majid: Department of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Bangi 43600, Selangor, Malaysia

Mathematics, 2020, vol. 8, issue 9, 1-21

Abstract: In the modeling and analysis of reliability data via the Lindley distribution, the maximum likelihood estimator is the most commonly used for parameter estimation. However, the maximum likelihood estimator is highly sensitive to the presence of outliers. In this paper, based on the probability integral transform statistic, a robust and efficient estimator of the parameter of the Lindley distribution is proposed. We investigate the relative efficiency of the new estimator compared to that of the maximum likelihood estimator, as well as its robustness based on the breakdown point and influence function. It is found that this new estimator provides reasonable protection against outliers while also being simple to compute. Using a Monte Carlo simulation, we compare the performance of the new estimator and several well-known methods, including the maximum likelihood, ordinary least-squares and weighted least-squares methods in the absence and presence of outliers. The results reveal that the new estimator is highly competitive with the maximum likelihood estimator in the absence of outliers and outperforms the other methods in the presence of outliers. Finally, we conduct a statistical analysis of four reliability data sets, the results of which support the simulation results.

Keywords: Lindley distribution; M-estimator; probability integral transform statistic; reliability; robust estimation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
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