The main aim of this paper is to study how the different estimators of the
unknown shape parameter ሺߠሻ of an EGpz distribution can behave for different
sample sizes and for different parameter values. Here, we mainly compare the
maximum likelihood estimator (MLE) with the other estimators such as the
unbiased estimator (UBE), method of moment estimator (MME), estimator based
on percentiles (PCE), least squares estimator (LSE) and weighted least squares
estimator (WLSE), mainly with respect to their absolute relative bias (ARBias)
and relative root mean square error (RRMSE) using extensive simulation
techniques. Real data set will be used as an example for the six method of
estimations for the shape parameter ሺߠሻ of exponentiated Gompertz distribution.