Comparative Study on Two Method for Estimating Three Parameter Exponentiated Odd Generalized Exponential Exponential Distribution

Maximum likelihood is a relatively simple method of constructing an estimator for an un-known parameter μ. Maximum likelihood estimator (MLE) is obtained by taking the partial differentiation of likelihood function of a distribution. While the penalized MLE is obtained by adding a penalty to the regular MLE. The aim of this work is to make comparison between the regular MLE and penalized MLE of a three (3) parameter (α, λ and θ) Exponentiated Odd Generalized Exponential Exponential Distribution (EOGEED), this distribution has two shape and one scale parameters. Sample size 50, 100, 250 of simulated data were generated to check the performance of regular MLE and PMLE. The results show that the PMLE performs better than regular MLE especial for small sample size