Estimation of Stress-Strength Reliability for the Generalized Pareto Distribution Based on Progressively Censored Samples
This paper deals with the estimation of stress-strength reliability parameter, \(R = P\left( Y < X \right) \), based on progressively type II censored samples when stress, strength are two independent generalized Pareto random variables. The maximum likelihood estimators, their asymptotic distributions, asymptotic confidence intervals, bootstrap based confidence intervals and Bayes estimators are derived for \(R\). Using Monte Carlo simulations, the MSE, Bayes risk estimators, credible sets and coverage probabilities are computed and compared.
generalized pareto distribution progressively type ii censored samples maximum likelihood estimator uniformly minimum variance unbiased estimator