A Bayesian Look at Classical Estimation: The Exponential Distribution

Many undergraduate students are introduced to frequentist or classical methods of parameter estimation such as maximum likelihood estimation, uniformly minimum variance unbiased estimation, and minimum mean square error estimation in a reliability, probability, or mathematical statistics course. Rossman, Short, and Parks (1998) present some thought provoking insights on the relationship between Bayesian and classical estimation using the continuous uniform distribution. Our aim is to explore these relationships using the exponential distribution. We show how the classical estimators can be obtained from various choices made within a Bayesian framework.