A simple and accurate inference procedure for the difference of failure intensities from two exponential distributions

A third order asymptotic method is proposed to obtain approximate observed levels of significance and confidence intervals for the difference of failure intensities from two independent exponential distributions. The proposed method is extremely accurate even for very small sample sizes and it is simple to use. Numerical examples are used to illustrate the difference in accuracy between the proposed method and methods discussed in Bain, Shiue & Engelhardt (1993) and Yu & Burdick (1994), Extensions to censored samples and cost considerations are also discussed.