On estimation of the shape parameter of the gamma distribution

A. Zaigraev and A. Podraza-Karakulska

Statistics & Probability Letters, 2008, vol. 78, issue 3, 286-295

Abstract: The problem of estimation of an unknown shape parameter under the sample drawn from the gamma distribution, where the scale parameter is also unknown, is considered. A new estimator, called the maximum likelihood scale invariant estimator, is proposed. It is established that both the bias and the variance of this estimator are less than that of the usual maximum likelihood estimator. A property of the psi function is also obtained.

Keywords: Gamma; distribution; Maximum; likelihood; scale; invariant; estimator; Maximum; likelihood; estimator; Psi; function (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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