In this study we have considered different methods of estimation of the unknown
parameters of a two-parameter Rayleigh distribution from both the frequentists’
and the Bayesian view points. First, we briefly describe different frequentists’
approaches: maximum likelihood estimators, method of moments estimators, Lmoment
estimators, percentile-based estimators, and least squares estimators, and
we compare them using extensive numerical simulations. We have also considered
Bayesian inferences of the unknown parameters. It is observed that the Bayes
estimates and the associated credible intervals cannot be obtained in explicit
forms, and we have suggested using an importance sampling technique to compute
the Bayes estimates and the associated credible intervals. We analyze one
dataset for illustrative purposes.