The shape of the hazard function: Does the generalized gamma have the last word?

Matthew B. Matheson and Christopher Cox

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 23, 11657-11666

Abstract: This paper compares the five-parameter beta generalized gamma (BGG) distribution to the three-parameter generalized gamma (GG). Both distributions include the four standard hazard shapes that we believe is an important property for any parametric family. For several BGG distributions, we select matching GGs and compute the Kullback-Liebler distance, observing remarkable agreement. We explore the beta parameters' influence on the matched GG parameters, detecting a strong connection between the distributions. Lastly, we compare the distributions using two real-data examples. We conclude from these comparisons that the BGG is not likely to be more useful for analytical purposes than the simpler GG.

Date: 2017
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DOI: 10.1080/03610926.2016.1277757

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