ABSTRACT
In this paper, the parameters and reliability characteristics of the failure distribution of the mixture of failure rates are estimated based on a complete sample using both Markov Chain Monte Carlo (MCMC) method and Maximum Likelihood Estimation (MLE). While MLE is the most frequently used method for parameter estimation, MCMC has recently emerged as a good alternative. The most popular MCMC method, called Metropolis-Hastings algorithm is used to provide complete analysis of the concerned posterior distribution. A simulation study is provided to compare MCMC with MLE, and differences between the estimates obtained by the two approaches are evaluated.
