Some simple estimators for the two-parameter gamma distribution |
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| Authors: | Helton Saulo Marcelo Bourguignon Xiaojun Zhu N. Balakrishnan |
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| Affiliation: | 1. Departamento de Estatística, Universidade de Brasília, DF, Brazil;2. Department of Mathematics and Statistics, McMaster University, Hamilton, ON, Canadaheltonsaulo@gmail.com;4. Departamento de Estatística, Universidade Federal do Rio Grande do Norte, Natal, RN, Brazil;5. Department of Mathematical Sciences, Xi’an Jiaotong-Liverpool University, Suzhou, Jiangsu, P.R. China;6. Department of Mathematics and Statistics, McMaster University, Hamilton, ON, Canada |
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| Abstract: | ABSTRACTIn this paper, we propose two new simple estimation methods for the two-parameter gamma distribution. The first one is a modified version of the method of moments, whereas the second one makes use of some key properties of the distribution. We then derive the asymptotic distributions of these estimators. Also, bias-reduction methods are suggested to reduce the bias of these estimators. The performance of the estimators are evaluated through a Monte Carlo simulation study. The probability coverages of confidence intervals are also discussed. Finally, two examples are used to illustrate the proposed methods. |
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| Keywords: | Gamma distribution Maximum likelihood estimator Method of moments Modified moment estimator |
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