On the Efficient Estimator of Exponential Parameter

Abstract

Exponential distribution plays an important role in modeling real-life data relating to the continuous waiting time. In this article, a new estimator of the exponential parameter has been proposed. Some statistical properties of the proposed estimator have been studied. The performance of the new estimator has been compared theoretically, and empirically with the maximum likelihood estimator. Simulation and examples to real-life data reveal that the new estimator has higher relative efficiency as compared to the maximum likelihood estimator. The R program utilized in this study has also been provided.

Keywords: Moment generating function; method of moments; exponential parameter; relative efficiency; simulation.