Classical and Bayesian inference of Cpc$\mathcal {C}_{pc}$ for Wilson–Hilferty distribution under progressively first‐failure type‐II censoring samples

Abstract This study uses two frequentist approaches and the Bayesian method of estimation using progressively first‐failure type‐II censored data to estimate process capability index (PCI), , for the Wilson–Hilferty (WH) distribution. A competitive maximum product of spacing (MPS) method for estimation of is proposed in the frequentist method as an alternative to conventional likelihood (LK)‐based estimation. We have also taken into account the PS function in the Bayesian setup as an alternative to the conventional LK function, and both LK and PS‐based Bayesian estimates are given for . Further, the Bayes estimates are evaluated by applying Tierney–Kadane (TK) approximation method and Markov chain Monte Carlo (MCMC) method with the help of both LK and PS functions and Jeffrey's prior. Additionally, the approximate confidence intervals based on the suggested frequentist techniques as well as the Bayes highest posterior density (HPD) credible intervals are built for the index . In addition, two bootstrap confidence intervals are obtained. In the simulation exercise, the performance of the Bayes and traditional estimates of is assessed in terms of their mean squared errors, and the average width and coverage probabilities of the CIs and HPD intervals are compared. An actual data set from the electronic industries is reanalyzed in order to show the efficacy of the proposed index and estimation methodology.