A Consistent Method of Estimation For The Three-Parameter Gamma Distribution

Hideki Nagatsuka, N. Balakrishnan and Toshinari Kamakura

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 18, 3905-3926

Abstract: For the three-parameter gamma distribution, it is known that the method of moments as well as the maximum likelihood method have difficulties such as non-existence in some range of the parameters, convergence problems, and large variability. For this reason, in this article, we propose a method of estimation based on a transformation involving order statistics from the sample. In this method, the estimates always exist uniquely over the entire parameter space, and the estimators also have consistency over the entire parameter space. The bias and mean squared error of the estimators are also examined by means of a Monte Carlo simulation study, and the empirical results show the small-sample superiority in addition to the desirable large sample properties.

Date: 2014
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DOI: 10.1080/03610926.2012.714035

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