Lord Rayleigh (1880) introduced the Rayleigh distribution in connection with a problem in the field of acoustics. Since then, extensive work has taken place related to this distribution in different areas of science and technology. It has some nice relations with some of the well-known distributions such as Weibull, chi-square or extreme value distributions. An important characteristic of the Rayleigh distribution is that its hazard function is an increasing function of time. It means that when the failure times are distributed according to the Rayleigh law, an intense aging of the equipment/item takes place. Estimations, predictions, and inferential issues for one-parameter Rayleigh distribution have been extensively studied by several authors. Interested readers could have a look at the book by Johnson, Kotz, and Balakrishnan (1994) for an excellent exposure to the Rayleigh distribution, and see also Abd-Elfattah, Hassan, and Ziedean (2006), Dey and Das (2007), and Dey (2009) for some recent references.