Bayesian Estimation in Rayleigh Distribution under a Distance Type Loss Function

Estimation of unknown parameters using different loss functions encompasses a major area in the decision theory. Specifically, distance loss functions are preferable as it measures the discrepancies between two probability density functions from the same family indexed by different parameters. In this article, Hellinger distance loss function is considered for scale parameter λ of two-parameter Rayleigh distribution. After simplifications, form of loss is obtained and that is meaningful if parameter is not large and Bayes estimate of λ is calculated under that loss function. So, the Bayes estimate may be termed as ‘Pseudo Bayes estimate’ with respect to the actual Hellinger distance loss function as it is obtained using approximations to actual loss. To compare the performance of the estimator under these loss functions, we also consider weighted squared error loss function (WSELF) which is usually used for the estimation of the scale parameter. An extensive simulation is carried out to study the behaviour of the Bayes estimators under the three different loss functions, i.e. simplified, actual and WSE loss functions. From the numericalresults it is found that the estimators perform well under the Hellinger distance loss function in comparison with the traditionally used WSELF. Also, we demonstrate the methodology by analyzing two real-life datasets.