This analysis compares methods of moments and maximum likelihood for estimating parameters in hyperexponential distributions, demonstrating applicability.
The problem of the parameter estimation for the hyperexponential distribution is considered. The method of moments and the maximum likelihood method are used, explicit intensity estimators for a distribution with two intensity values are constructed. The conditions for the applicability of the method of moments are obtained and its comparison with a new method combining the method of moments and the maximum likelihood method is carried out. The possibility of estimating the minimum intensity parameter in the case of an arbitrary number of parameters of a hyperexponential distribution is shown. Numerical modeling shows the applicability of the developed estimation algorithms.
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Burkatovskaya et al. (2025) studied this question.
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