COMMUNICATIONS IN STATISTICS—THEORY AND METHODS

, VOL. , NO. , –

http://dx.doi.org/./..

Bayesian estimation and prediction for the inverse weibull

distribution under general progressive censoring
Peng Xiuyun and Yan Zaizai
Department of Mathematics, Science College, Inner Mongolia University of Technology, Hohhot, Inner Mongolia,
P. R. China

ABSTRACT ARTICLE HISTORY

This paper deals with Bayesian estimation and prediction for the inverse Received  November 
Weibull distribution with shape parameter α and scale parameter λ Accepted  August 
under general progressive censoring. We prove that the posterior con-
KEYWORDS
ditional density functions of α and λ are both log-concave based on Log-concave; Gibbs
the assumption that λ has a gamma prior distribution and α follows a sampling; Two-sample
prior distribution with log-concave density. Then, we present the Gibbs prediction; General
sampling strategy to estimate under squared-error loss any function of progressive censoring;
the unknown parameter vector (α, λ) and find credible intervals, as well General progressive hybrid
as to obtain prediction intervals for future order statistics. Monte Carlo censoring
simulations are given to compare the performance of Bayesian estima-
MATHEMATICS SUBJECT
tors derived via Gibbs sampling with the corresponding maximum likeli-
CLASSIFICATION
hood estimators, and a real data analysis is discussed in order to illustrate N; N.
the proposed procedure. Finally, we extend the developed method-
ology to other two-parameter distributions, including the Weibull,
Burr type XII, and flexible Weibull distributions, and also to general
progressive hybrid censoring.

1. Introduction
The probability density function (PDF) and the cumulative distribution function (CDF) of
the inverse Weibull (IW) distribution, with shape parameter α and scale parameter λ, are
respectively defined by
−α
f (x; α, λ) = αλx−(α+1) e−λx , α > 0, λ > 0, x > 0, (1)
and
−α
F (x; α, λ) = e−λx . (2)
The IW distribution has a heavy right tail and its hazard rate is unimodal as the log-normal
and the inverse Gaussian distributions. The IW model is useful in reliability analysis, insur-
ance, and other fields. For example, Keller et al. (1985) have pointed out that the degradation
phenomena of dynamic components of diesel engines can be well described by the IW model.
Maswadah (2003) has indicated that the maximum flood levels of the Susquehanna River at
Harrisburg, Pennsylvania, over a period of 24 years are well modeled by the IW distribu-
tion. Many authors have studied the properties of the IW distribution. Calabria and Pulcini

CONTACT Yan Zaizai zz.yan@.com Department of Mathematics, Science College, Inner Mongolia University of
Technology, Hohhot, P. R. China.
©  Taylor & Francis Group, LLC
622 P. XIUYUN AND Y. ZAIZAI

(1989, 1990) have studied the maximum likelihood estimators (MLEs) of the parameters and
of the reliability function for the complete and censored sampling, and, in 1992 and 1994, they
proposed the Bayesian credible intervals (CIs) of the parameters and of the reliability, and
derived the Bayesian prediction CIs based on the two-prediction approach under the priors
with uniform distribution on α and gamma distribution on γ . Kundu and Howlader (2010)
have described the Bayesian inference and prediction of future observation for censored data
under the assumption that both α and λ have independent gamma priors. Based on general-
ized order statistics, Abd Ellah (2012) has examined the Bayesian and the MLEs when α has
discrete prior and λ has gamma prior distribution. In addition, the mathematical property
and the application of inverse Weibull distribution have been discussed in monographs, for
example, see Reiss and Thomas (2007).
Progressive censoring life test is commonly used in reliability engineering because of
many pragmatic reasons such as time constraint, cost reduction, and backward technology.
Balakrishnan and Aggarwala (2000) and Balakrishnan (2007) have presented an elaborate
overview of various developments in progressively censored data. In this paper, we focus on
the general progressive censoring scheme to derive the Bayesian inference for the IW dis-
tribution. Recently, based on the general progressively censored data, several papers have
appeared to estimate the unknown parameter for different distributions. For example, Bal-
akrishnan and Sandhu (1996) have derived the best linear unbiased estimator and MLE, and
Fernández (2004) has considered both MLEs and Bayesian estimators for the exponential
distribution. Soliman (2008) has considered the Bayesian estimators and MLEs of the param-
eters as well as some survival time parameters for the Pareto model. Kim and Han (2009) have
derived the MLE and Bayesian estimator for scale parameter as well as the Bayesian predic-
tive estimator of future observation for the Rayleigh distribution. In this paper, we consider
the Bayesian inference for the IW distribution. It is well known that the Bayesian method
is more attractive than MLEs when there is some prior knowledge available on population.
For the Bayesian parameter estimation, the first problem is to decide the prior distribution
of the parameter(s). Unfortunately, for the IW distribution, the continuous conjugate priors
of (α, λ) do not exist when (α, λ) are both unknown. A natural choice for prior distribu-
tion of λ is a gamma distribution, which is the conjugate distribution of λ when α is known.
We simply assume that the prior on α, π(α), is a log-concave PDF on support (0, ) and
π(α) is independent of gamma prior distribution of λ. For scale-shape parameter distribu-
tions, gamma prior distribution on scale parameter in combination with log-concave prior
PDF on shape parameter is commonly used, for example, the Weibull distribution (see Berger
and Sun, 1993; Kundu and Raqab, 2012; Lin et al., 2012) and the gamma distribution (see
Pradhan and Kundu, 2011). One of the reasons for selecting a log-concave prior PDF for
shape parameter is the mathematical tractability of the resulting posterior density. Another
reason is that many common densities are log-concave. For example, the normal distribu-
tion, the log-normal distribution, and the gamma distribution (when the shape parameter
is 1) all have log-concave PDFs. In this paper, based on the general progressive censor-
ing, we prove that the posterior density functions of both (α, λ) are log-concave based on
the assumption that λ has a gamma prior distribution and α has a log-concave prior PDF
under the squared error loss (SEL) function, and we derive the Gibbs sampling strategy to
estimate the unknown parameters and the corresponding CIs and also predict future order
statistics. Meanwhile, we find that many distributions with two parameters have log-concave
posterior densities and they are suitable for the proposed Gibbs sampling strategy under the
assumption that the scale parameter has a gamma prior distribution and shape parameter(s)
has a log-concave prior PDF. Those include the Weibull, Burr type XII , and flexible Weibull
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 623

distributions. Furthermore, we find that the proposed Gibbs sampling strategy can be
extended from the general progressive censored sample to the general progressive hybrid cen-
sored sample.
The rest of this paper is organized as follows: In Section 2, we investigate the properties
of the posterior density functions of (α, λ), and then derive the Gibbs sampling strategy to
estimate the unknown (α, λ) and the CIs and predict future order statistics for the IW dis-
tribution. The simulation and analysis of data are given in Section 3. The extensions of the
proposed method are indicated in Section 4. Finally, the conclusion is drawn in Section 5.

2. Bayesian inference
The general progressive censoring scheme is conducted as follows: Assume that independent
and identical units with size n are simultaneously placed on a life test. The failure times of the
first r failed units are not observed. At the time of the (r + 1)th failure, the surviving units with
size Rr + 1 are withdrawn from the test randomly. At the time of the (r + i)th failure, Rr + i of
the surviving units with are withdrawn from the test randomly. Finally, at the time of the mth
failure, the remaining Rm = n − m − Rr + 1 − ··· − Rm − 1 units are withdrawn from the test
randomly. Finally, at the time of the mth failure, the remaining Rm = n − m − Rr + 1 − … −
Rm − 1 are withdrawn from the test, where the failure number during the test m is prefixed. The
m − r failure times X = (Xr + 1 , Xr + 2 , …, Xm ) are named as general progressively censored
data with censoring scheme R = (Rr + 1 , …, Rm ), where Xr + 1  Xr + 2    Xm . In this
paper, we always suppose m − r > 0, such that at least one failure time is observed in the test.
It is clear that the general progressive censoring includes the conventional order statistics (r
= 0, m = n), the Type-II right censoring (r = 0, R1 = … = Rm − 1 = 0, Rm = n − m > 0), and
the progressive right censoring (r = 0).
Suppose that the observed general progressive censored data x = (xr + 1 , …, xm ) are from a
continuous lifetime distribution with PDF and CDF, f(x; θ) and F(x; θ), respectively, then the
likelihood function is constructed by

m
L(θ; x) = [F (xr+1 ; θ )]r
f (xi ; θ )[1 − F (xi ; θ )]Ri , (3)
i=r+1

where θ is the parameter vector.

For the IW distribution, the likelihood function (3) is specified in the following form:

−α 
m
−α −α
L(α, λ; x) = α m−r λm−r e−rλxr+1 xi−(α+1) e−λxi (1 − e−λxi )Ri . (4)
i=r+1

The PDF of the gamma distribution with shape and scale parameters a > 0 and b > 0,
respectively, is given by
ba a−1 −bt
g(t; a, b) = t e . (5)
(a)
Suppose that α and λ are independent and λ has gamma prior with PDF g(λ; a, b) and α has
log-concave PDF π(α), where hyperparameters (a, b) are chosen to reflect prior knowledge
about λ. Then, the joint posterior density of (α, λ) given x is derived by:
L(α, λ; x)g(λ; a, b)π (α)
π (α, λ|x) =  ∞  ∞ . (6)
0 0
L(α, λ; x)g(λ; a, b)π (α)dαdλ
624 P. XIUYUN AND Y. ZAIZAI

Thus, under the SEL function, the Bayesian estimator of any function of (α, λ), say ϕ(α, λ),
is
∞∞
ϕ(α, λ)L(α, λ; x)g(λ; a, b)π (α)dαdλ
ϕ̂B (α, λ) = 0 0∞  ∞ . (7)
0 0
L(α, λ; x)g(λ; a, b)π (α)dαdλ
Analytically computing (7) is not possible. We study the properties of the posterior distribu-
tion and propose the Gibbs sampling strategy to approximate (α, λ) and construct the corre-
sponding CIs as follows.

2.1. Gibbs sampling

Based on (6), π(α, λ|x) is proportional to
π (α, λ|x) ∝ L(α, λ; x)g(λ; a, b)π (α). (8)
Substituting (4), (5), and π(α) into (8), we have
Theorem 1.
(I) The conditional PDF of α given λ and x is log-concave, and it is proportional to

−α m −α 
m
−α
π (α|λ; x) ∝ α m−r e−λ(rxr+1 + i=r+1 xi ) xi−(α+1) (1 − e−λxi )Ri π (α). (9)
i=r+1

(II) The conditional PDF of λ given α and x is log-concave, and it is proportional to

−α m −α 
m
−α
π (λ|α; x) ∝ λm−r+a−1 e−λ(rxr+1 + i=r+1 xi +b) (1 − e−λxi )Ri . (10)
i=r+1

Proof: see the Appendix. 

Based on Theorem 1, the Gibbs sampling procedure is found to generate the Monte Carlo
Markov Chain (MCMC) samples from the log-concave functions (9) and (10). Devroye (1984)
published a black-box style rejection algorithm that can be used for log-concave density f(x)
on the real line for which the location of a mode m̃ is known. This method can not be applied
directly when density f(x) is proportional to a function, that is, f(x) = ch(x), c  1, when
normalization constant c = χ h(x)dx is not available in a closed form, where χ denotes the
domain of f(x). Hence, Devroye’s method requires a lot of time to compute c and m̃ when those
are unknown, such as Eqs. (9) and (10). Gilks and Wild (1992) proposed other black-box
style rejection algorithm, named as adaptive rejection algorithm, to sample from log-concave
function. The algorithm of Gilks and Wild (1992) is more convenient than that of Devroye
(1984), as the former does not need to know c and m̃, yet estimators from both methods are
consistent. Therefore, we suggest the adaptive rejection algorithm for the Gibbs sampling in
this paper. The Gibbs sampling is as follows:
Step 1. Give starting value λ0 , and set i = 1.
Step 2. Generate α i from the log-concave function π(α|λi − 1 ; x).
Step 3. Generate λi from the log-concave function π(λ|α i ; x).
Step 4. Set i = i + 1.
Step 5. Repeat Steps 2-4 M times and obtain (α 1 , λ1 ), …, (α M , λM ).
Step 6. Eliminated the first K samples, the remaining N = M − K samples are denoted by (α 1 ,
λ1 ), …, (α N , λN ) for convenience.
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 625

Step 7. Obtain the Bayesian estimators and the posterior variances of α and λ with respect to
the SEL function as

1  1 
N N
ˆ
θB = θi , Var(θ̂B ) = (θi − θˆB )2 , (11)
N i=1 N i=1

where θ is α and λ.
Step 8. Order θ 1 , …, θ N as θ (1)    θ (N) .
The 100(1 − γ )% Bayesian CIs are given by

(θ([Nγ /2]) , θ([N(1−γ /2)]) ), (12)

where [z] is the integer part of z. Then, the 100(1 − γ )% highest posterior density (HPD) CIs
for the IW parameters are easily obtained by numerical method, which is the one with the
smallest interval width among all (12).
The starting value λ0 in Step 1 can be estimated based on the prior information of the
model. Certainly, λ0 can be replaced by the starting value α 0 and the order of Steps 2 and
3 can be exchanged to obtain the Bayesian estimators if the prior information on α is more
accurate than that on λ. Compared to the MLEs, one advantage of the Bayesian method is that
the prediction intervals of a future order statistic are readily constructed using above MCMC
samples, which is discussed in Section 2.2.

2.2. Two-sample prediction

In this section, the Bayesian prediction of a future order statistics is considered based on the
observed general progressively censored data x. Suppose that Y1  Y2    Yw are the order
statistics of a future random sample of size w from the same population. Then, the marginal
density function of the lth order statistics Yl , l = 1, …, w, is given by
w!
f ∗ (yl |α, λ) = [F (yl |α, λ)]l−1 [1 − F (yl |α, λ)]w−l f (yl |α, λ)
(w − l)!(l − 1)!
w! w−l
= (w−l )(−1)l1 [F (yl |α, λ)]l−1+l1 f (yl |α, λ). (13)
(w − l)!(l − 1)! l =0 l1
1

Then, the Bayesian predictive density function of Yl given x is obtained as follows

 ∞ ∞
f ∗ (yl |x) = f ∗ (yl |α, λ)π (α, λ|x)dαdλ. (14)
0 0

Analytically computing (14) is not possible. Based on the Monte Carlo method, (14) can be
approximated by

1  ∗
N
f ∗ (yl |x) ≈ f (yl |αi , λi ). (15)
N i=1

where (α i , λi ), i = 1, …, N are generated by the Gibbs sampling strategy as described in Section

2.1. The predictive reliability function is established by
N 
1  ∞ ∗
R∗ (yl |x) ≈ f (z|αi , λi )dz
N i=1 yl
626 P. XIUYUN AND Y. ZAIZAI

w!  N w−l
l1 1 − [F (yl |αi , λi )]
l+l1
= (lw−l )(−1) . (16)
N(w − l)!(l − 1)! i=1 l =0 1 l + l1
1

Then, the 100(1 − γ )% Bayesian prediction bounds for Yl are obtained by solving the follow-
ing equations with respect to z:

 N w−l 
w! 1 − [F (z|αi , λi )]l+l1 γ /2,
(lw−l )(−1)l1 = (17)
N(w − l)!(l − 1)! i=1 l =0 1 l + l1 1 − γ /2.
1

It is convenient to also find predictions of future order statistics under SEL, which are
given by
 ∞ 
N w−l
∗ w!
Ŷl = E[Yl |x] = yl f (yl |x)dyl ≈ (w−l )(−1)l1
0 N(w − l)!(l − 1)! i=1 l =0 l1
1
 ∞
× yl [F (yl |αi , λi )]l−1+l1 f (yl |αi , λi )dyl
0
N w−l 
w! 1 1 1
= (lw−l )(−1) l1
[λ i (l + l1 )] αi  1 − (18)
N(w − l)!(l − 1)! i=1 l =0 1 l + l1 αi
1

for l = 1, …, w. However, E[Yl |x] does not exist when α i < 1.

3. Simulation and real data analysis

Our simulations are based on R, which is an open source statistical programming language.

3.1. Simulation
In order to evaluate the performance of the method discussed in Section 2, a Monte Carlo
simulation study is conducted. To calculate the Bayesian estimates, we need to specify the
log-concave prior PDF for α. We assume that α has gamma distribution with PDF g(α; c, d).
It is well known that g(α; c, d) is log-concave if c  1. However, based on (32) (see Appendix),
we can see that Theorem 1 is still true for any c  0 and d  0, where g(α; c, d)1/α if c = 0
and d = 0.
In our experiment, parameters are chosen to be (α, λ) = (1.2, 1) and (0.8, 1) with sample
size n = 20 and m = 15. A group of representative general progressive censoring schemes are
considered in Table 1. Given (α, λ), n, r, m and R, the general progressively censored samples
are generated by using Balakrishnan and Aggarwala (2000).
For the Bayesian estimation, two group priors, denoted by prior-0 and prior-1, have been
considered. For prior-0, the non informative priors on λ and α are set to be a = b = c = d = 0.
For prior-1, the informative priors on λ and α are used to be a = b = c = d = 1, we keep that
the prior mean is same as the original mean of λ = a/b and prior mean is somewhat different
from the original mean of α = c/d. For each censored sample, 1,100 MCMC samples are
generated using the Gibbs sampling and the first 100 samples are eliminated. The Bayesian
estimators, the 95% CIs, and the lengths are approximated based on the remaining 1, 000
MCMC samples. The MLEs, the 95% confidence intervals (CIs), and the lengths are calculate
also for the purpose of comparison with the Bayesian estimates. We replicate the process 1, 000
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 627

Table . Different censoring schemes R = (Rr +  , …, R ) (the unobserved failure times are remarked by – ).
Schemes r R = (R , …, R )

x()  (, , , , , , , , , , , , , , )
x()  (, , , , , , , , , , , , , , )
x()  (, , , , , , , , , , , , , , )
x()  (–, –, , , , , , , , , , , , , )
x()  (–, –, , , , , , , , , , , , , )
x()  (–, –, , , , , , , , , , , , , )
x()  (–, –, , , , , , , , , , , , , )
x()  (–, –, , , , , , , , , , , , , )
x()  (–, –, , , , , , , , , , , , , )
x()  (–, –, –, –, –, , , , , , , , , , )
x()  (–, –, –, –, –, , , , , , , , , , )

times and compute average estimates (means), mean squared errors (MSEs), average length
of CIs (LCIs), and coverage percentages (CPs). The results are reported in Table 2.
In Table 2, first, the results from the MLEs and Bayesian estimators are found satisfactory
in terms of CPs. Next, based on the analysis of the means, MSEs, and LCIs, the performance
of MLEs is found close to that of the Bayesian estimators with respect to the prior-0, and
the performance of Bayesian estimators based on the prior-1 is found to be better than the
MLEs and Bayesian estimators with respect to the prior-0. The results from censoring sam-
ples x(1) , x(2) , and x(3) are better than the the results from x(4) , x(5) , and x(6) , respectively, because
m( = 15) exact failure times are observed for x(1) , x(2) , and x(3) , and m − r( = 13) exact failure
times are observed for x(4) , x(5) and x(6) , although their expected durations of the experiments
are same. The performance of the MLEs and Bayesian methods becomes worse as r increases
from 2 to 5, as expected. Based on above analysis, we can see that the Bayesian method pro-
posed in this paper is better than the MLEs if a model has some appropriate prior information.
If we have no prior information for the model, then it is better to use the MLEs rather than
the Bayesian method for parameter estimation problem, since the Bayesian estimators are
computationally more expensive.

3.2. Data analysis

Nelson (1982) considered the following times to breakdown of an insulating fluid subject to
the action of two electrodes exercising a constant tension of 36 KV (n = 15):
x(0) = (0.35, 0.59, 0.96, 0.99, 1.69, 1.97, 2.07, 2.58, 2.71, 2.90, 3.67, 3.99, 5.35,
13.77, 25.50)
(in minutes). Erto (1989) showed that those times are well fitted by the IW distribution, and
Calabria and Pulcini (1994) used those times to evaluate the proposed Bayesian prediction
approach for the IW model. To illustrate the method developed in this paper, two general
progressively censored samples with m = 11 have been generated as follows:
x(1) = ( −, 0.59, 0.96, 0.99, 1.69, 1.97, 2.07, 2.58, 2.90, 3.67, 3.99), r = 1, R2 = 1, R11 = 3, Ri
= 0 if i  2, 11;
x(2) = ( −, −, 0.96, 0.99, 1.69, 1.97, 2.07, 2.58, 2.90, 3.67, 3.99), r = 2, R4 = 1, R11 = 3, Ri =
0 if i  4, 11.
Based on the original complete data x(0) and censored data x(1) and x(2) , the MLEs of (α, λ),
the approximate variances, and the 95% CIs are estimated and these are listed in Table 3. For
the Bayesian estimation, suppose that λ and α have gamma prior distributions with PDFs g(λ;
628 P. XIUYUN AND Y. ZAIZAI

Table . Means, MSEs, LCIs, and CPs with (α, λ) = (., ), (., ).
(α, λ) x Items Means MSEs ALs CPs
α, λ α, λ α, λ α, λ

(., ) x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., .  ,  
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
(., ) x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
(Continued)
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 629

Table . (Continued)
(α, λ) x Items Means MSEs ALs CPs
α, λ α, λ α, λ α, λ

x) MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .
x() MLEs ., . ., . ., . ., .
prior- ., . ., . ., . ., .
prior- ., . ., . ., . ., .

a, b) and g(α; c, d), respectively. The non informative prior-0 of both unknown parameters
is used to be a = b = c = d = 0, because we have no prior information about this data. 11,
000 MCMC samples are generated and the first 1, 000 samples are eliminated. Based on the
remaining 10, 000 samples, the Bayesian estimators, the posterior variances, the 95% CIs are
estimated, and these are also listed in Table 3. From Table 3, the performance of x(0) is found
to be the best, followed by x(1) and x(2) in terms of the variances; the performance of MLEs
and the Gibbs sampling are almost the same, as expected. Furthermore, we suppose that Y1 
  Y15 are the order statistics of a future sample of size w = 15 from the same population.
Using (17), the predictive intervals of Y1    Y15 are calculated based on the previous 10,
000 MCMC samples. For example, based on x(0) , x(1) , and x(2) , the 95% predictive intervals of
Y1 are found to be (0.150, 1.081), (0.143, 1.128), and (0.197, 1.288), respectively.

4. Extension
In this section, we extend the Gibbs sampling procedure presented in Section 2 for the IW dis-
tribution to other distributions. Likewise, we generalize our method from general progressive
censoring to general progressive hybrid censoring.

4.1. Extensions to other distributions

Throughout Section 4.1, x = (xr + 1 , …, xm ) denotes the observed general progressively data
with censoring scheme R = (Rr + 1 , …, Rm ). In Sections 4.1.1– 4.1.3, we will give three distri-
butions with two parameters. Substituting these PDFs and CDFs to the likelihood function
(3), we find that the posterior conditional density functions of parameters are log-concave
under the assumption that the scale parameter follows a gamma prior distribution, and the
prior on the shape parameter(s) has log-concave PDF. Hence, the Gibbs sampling proposed
in Section 2 is still suitable for these distributions. Proofs of Theorems 2–4 are modeled based
on Theorem 1.

Table . Parameter estimators, variances, and CIs for Nelson’s () data.
x Items Estimators CIs Variances
α λ α λ α λ

x() MLEs ., . (., .), (., .) ., .
Gibbs ., . (., .), (., .) ., .
x() MLEs ., . (., .), (., .) ., .
Gibbs ., . (., .), (., .) ., .
x() MLEs ., . (., .), (., .) ., .
Gibbs ., . (., .), (., .) ., .
630 P. XIUYUN AND Y. ZAIZAI

... Weibull distribution

The PDF and CDF of the Weibull distribution with shape parameter α and scale parameter
λ, are given by
α
f (x; α, λ) = αλxα−1 e−λx , α > 0, λ > 0, x > 0, (19)
and
α
F (x; α, λ) = 1 − e−λx . (20)
Suppose that λ and α are independent and λ has a gamma prior distribution with PDF g(λ; a,
b) and α has a prior with log-concave PDF π(α). We then have the following Theorem.
Theorem 2.
(I) The conditional PDF of λ given α and x is log-concave, and it is proportional to

α

m
m α
π (α|λ; x) ∝ (1 − e−λxr+1 )r α m−r xi α−1 e−λ i=r+1 (1+Ri )xi π (α). (21)
i=r+1

(II) The conditional PDF of α given λ and x is log-concave, and it is proportional to

α m α
π (λ|α; x) ∝ (1 − e−λxr+1 )r λm−r+a−1 e−λ( i=r+1 (1+Ri )xi +b) . (22)

Based on the analysis of (21), as IW distribution, Theorem 2. (I) is still true for any gamma
prior distribution on α with PDF g(α; c, d) .
It should be pointed out that Soliman et al. (2011) computed the Bayesian point and interval
predictions using the two-sample prediction method for general progressive censoring based
on the assumption that α has discrete prior and λ has gamma prior. The discrete prior on
α has been criticized because of its difficulty in application to real-life problems, though the
parameter estimations have closed forms, see for example, Kaminskiy and Krivtsov (2005).
Kundu (2008) discussed the parameter estimates when the data are from a progressively right
censored sample (r = 0). Apparently, in this special case, (22) reduces to a gamma density.
Hence, the MCMC samples can be generated from log-concave density (21) and gamma den-
sity (22). However, if r > 0, (22) is not gamma density. Therefore, the method of Kundu (2008)
is no longer applicable.

... Burr type XII distribution

The PDF and CDF of the Burr type XII distribution with shape parameters α and β, are respec-
tively given by
f (x; α, β ) = αβxβ−1 (1 + xβ )−(α+1) , α > 0, β > 0, x > 0, (23)
β −α
F (x; α, β ) = 1 − (1 + x ) , (24)
Suppose that α and β are independent, and α and β have priors with log-concave PDFs, π(α)
and π(β), respectively. We have the following Theorem.
Theorem 3.
(I) The conditional PDF of α given β and x is log-concave, and it is proportional to

β

m
π (α|β; x) ∝ α m−r
[1 − (1 + xr+1 )−α ]r (1 + xiβ )−(α+1+Ri α) π (α). (25)
i=r+1

and it is log-concave.
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 631

(II) The conditional PDF of β given α and x is log-concave, and it is proportional to

β

m
π (β|α; x) ∝ β m−r [1 − (1 + xr+1 )−α ]r xiβ−1 (1 + xiβ )−(α+1+Ri α) π (β ). (26)
i=r+1

Based on the analysis of (25) and (26), we can see that Theorem 3 is still true for any gamma
prior distributions on β and α with PDFs g(β; a, b) and g(α; c, d), respectively.
It should be pointed out that Rastogi and Tripathi (2012) gave parameter estimates for
the Burr type XII distribution using the Lindley approximation method when the data are
progressively censored, and this method can be extended to general progressive censoring
schemes. However, a clear disadvantage of the Lindley approximation method is that it can-
not calculate precision of the estimators of the parameters and the predictors of future order
statistics.

... Flexible weibull distribution

Bebbington et al. (2007) introduced a flexible Weibull distribution. The PDF and CDF with
shape parameters α and β of the flexible Weibull distribution are given by
 
β β β
f (x; α, β ) = α + 2 exp αx − − eαx− x , α > 0, β > 0, x > 0, (27)
x x
and

β

F (x; α, β ) = 1 − exp −eαx− x . (28)

Suppose that α and β are independent and α and β have priors with log-concave PDFs, π(α)
and π(β), respectively. We have the following Theorem.
Theorem 4:
(I) The conditional PDF of α given β and x is log-concave, and it is proportional to
  r  m 
αxr+1 − x β β
π (α|β; x) ∝ 1 − exp −e r+1 α+ 2
i=r+1
xi
 β 
αx −
× exp αxi − (1 + Ri )e i xi π (α). (29)

(II) The conditional PDF of β given α and x is log-concave, and it is proportional to

 r  m 
αx − β β
π (β|α; x) ∝ 1 − exp(−e r+1 xr+1 ) α+ 2
i=r+1
xi

β αx − β
× exp − − (1 + Ri )e i xi π (β ). (30)
xi

4.2. Extension to general progressive hybrid censoring

Recently, a more complex censoring scheme, which is named as progressive hybrid censor-
ing scheme, has captured the attention of researchers. Balakrishnan and Kundu (2013) pro-
vided an overview of various developments of this hybrid censoring and also suggested some
potential problems of interest for further research. Kundu (2007), Banerjee and Kundu (2008),
Mokhtari et al. (2011), Lin et al. (2009), and Lin et al. (2012) have discussed the inferences
for Wei(α, λ) based on different (progressive) hybrid censoring scheme, but they have not
632 P. XIUYUN AND Y. ZAIZAI

discussed the general progressive hybrid censoring scheme yet. In this section, we extend the
proposed Gibbs sampling method from the general progressive censoring to the general pro-
gressive hybrid censoring scheme.

... Type-I general progressive hybrid censoring

Based on the general progressively censored data X = (Xr + 1 , …, Xm ) with censoring scheme
R = (Rr + 1 , …, Rm ), the Type-I general progressive hybrid censoring test can be described as
follows. Let T∗ be a prefixed time point. In this case, the experiment stops at Xm if Xm occurs
before time T∗ , and otherwise it stops at time T∗ . Let D denote the number of failures that
occur before time T∗ . Under the Type-I general progressive hybrid censoring, the observed
data will be one of the following two forms:
Case I: x = (xr + 1 , …, xm ), if xm  T∗ ;
Case II: x = (xr + 1 , …, xd ), if xm > T∗ .
The likelihood function for Case I is given by (3). Therefore, the results for Sections 2 and
4.1 are still valid when data is from Case I.
While for Case II, the likelihood function is given by


d
∗
L(θ; x) = [F (xr+1 ; θ )]r f (xi ; θ )[1 − F (xi ; θ )]Ri [1 − F (T ∗ ; θ )]R , (31)
i=r+1

where R∗ = n − d − Rr + 1 −  − Rd . In this paper, we always suppose that d − r >

0. Comparing Eq. (3) with Eq. (31), we can see that the results of the inverse Weibull,
Weibull and Burr type XII distributions from the general progressive censoring turn into
that fromType-I or Type-II general progressive hybrid dcensoring, when m is replaced
by d and m i=r+1 f (xi ; θ )[1 − F (xi ; θ )] is replaced by
Ri
i=r+1 f (xi ; θ )[1 − F (xi ; θ )] [1 −
Ri
∗ R∗
F (T ; θ )] in Eq. (3).

... Type-II general progressive hybrid censoring

Based on the general progressive censoring data X = (Xr + 1 , …, Xm ) with censoring scheme
R = (Rr + 1 , …, Rm ), the Type-II general progressive hybrid censoring test can be described as
follows. Let T∗ also be a prefixed time point and D be the number of failures that occur before
time T∗ . Then, if Xm > T∗ , the experiment terminate at the mth failure, with the withdrawal
of units occurring after each failure according to the prefixed progressive censoring scheme
R = (Rr + 1 , …, Rm ). However, if Xm  T∗ , then instead of terminating the experiment by
removing all remaining Rm units after the mth failure, the experiment continue to observe
failures without any further withdrawals up to time T∗ . Thus, in this case, we have Rm = 
= RD = 0 and R∗ = n − D − Rr + 1 −  − Rm − 1 . Based on Type-II general progressive
hybrid censoring, the observed data will be one of the following two forms:
Case I: x = (xr + 1 , …, xm ), if xm  T∗ ;
Case II: x = (xr + 1 , …, xm , xm + 1 , …, xd ), if xm < T∗ .
Comparing Cases I and II in Section 4.2.2 with Cases I and II in Section 4.2.1, respectively,
we can see that the performance of the observed data under both Type-I and Type-II general
progressive hybrid censoring are same, though the censoring schemes are different. There-
fore, the results discussed in Section 4.2.1 are applicable to Type-II general progressive hybrid
censoring data in Section 4.2.2.
If r = 0, Type-I and Type-II general progressive hybrid censoring schemes reduce to Type-I
and Type-II progressive hybrid censoring schemes (Balakrishnan and Kundu, 2013).
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 633

5. Conclusion
Gibbs sampling has been proposed in this paper to construct the Bayesian point and interval
estimators as well as to derive prediction intervals, based on general progressively censored
samples. The proposed method is applicable not only to the IW distribution but also to the
Weibull, Burr type XII, and flexible Weibull distributions. In addition, it can be extended to
general progressive hybrid censoring. Therefore, the proposed Gibbs sampling method has a
broad perspective in application.

Acknowledgments
The authors are sincerely grateful to the referees and to the Editor-in-Chief N. Balakrishnan for their
many constructive comments and careful reading of the paper.

Funding
This study was supported by the National Natural Science Foundation of China (no. 11161031) and the
Natural Science Foundation of Inner Mongolia (no. 2013MS0108).

Appendix
(I) Based on (4), we have that

∂ 2 ln L(x; α, λ) m−r m
−α
= − − λrx (ln x r+1 ) 2
− λ xi−α (ln xi )2
∂α 2 α2 r+1
i=r+1
m
Ri F (xi ; α, λ)λxi−α (ln xi )2 [1 − F (xi ; α, λ) − λxi−α ]
+ .
i=r+1
[1 − F (xi ; α, λ)]2
(32)

By combing the log-concave prior π(α) with (32), and using the mathematical prop-
erty 1 − x − e−x < 0, x > 0, we have that
∂ 2 ln π (α|x, λ) ∂ 2 ln L(x; α, λ) ∂ 2 ln π (α)
= + < 0. (33)
∂α 2 ∂α 2 ∂α 2
Therefore, π(α|x, λ) is log-concave.
(II)

∂ 2 ln L(x; α, λ) m−r m
Ri F (xi ; α, λ)(xi−α )2
= − − . (34)
∂λ2 λ2 i=r+1
[1 − F (xi ; α, λ)]2

By combing the gamma prior g(λ; a, b) with (34), we have that

∂ 2 ln π (λ|x, α) ∂ 2 ln L(x; α, λ) ∂ 2 ln g(λ; a, b)
= +
∂λ 2 ∂λ2 ∂λ2
m−r+a−1  Ri F (xi ; α, λ)(x−α )2
m
=− − i
< 0. (35)
λ2 i=r+1
[1 − F (x i ; α, λ)]2

Therefore, π(λ|x, α) is log-concave.

634 P. XIUYUN AND Y. ZAIZAI

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