Markov chain Monte Carlo methods for parameter estimation of the modified Weibull distribution

Abstract

In this paper, the Markov chain Monte Carlo (MCMC) method is used to estimate the parameters of a modified Weibull distribution based on a complete sample. While maximum-likelihood estimation (MLE) is the most used method for parameter estimation, MCMC has recently emerged as a good alternative. When applied to parameter estimation, MCMC methods have been shown to be easy to implement computationally, the estimates always exist and are statistically consistent, and their probability intervals are convenient to construct. Details of applying MCMC to parameter estimation for the modified Weibull model are elaborated and a numerical example is presented to illustrate the methods of inference discussed in this paper. To compare MCMC with MLE, a simulation study is provided, and the differences between the estimates obtained by the two algorithms are examined.modified Weibull distribution, Markov chain Monte Carlo, Gibbs sampler, adaptive rejection sampling, maximum likelihood, probability interval,

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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