On the estimation of the shape parameter of the gamma distribution in second-order asymptotics

Yoshiji Takagi

Statistics & Probability Letters, 2012, vol. 82, issue 1, 15-21

Abstract: In the two-parameter case with parameter orthogonality, we propose a method of constructing an estimator with second-order admissibility under any loss function with a given loss coefficient. Furthermore, we give a sufficient condition for any estimator to be second-order admissible or inadmissible. On the basis of these results, the problem of estimating the shape parameter of the gamma distribution is discussed at the level of second-order asymptotics.

Keywords: Shape parameter of gamma distribution; Second-order admissibility; Loss coefficient (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2011.09.002

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