Abstract

The empirical moment generating function is used for the estimation of the shape, scale, and location parameters of a three-parameter gamma distribution. The proposed method is valid over the entire parameter space and avoids the difficulties associated with maximum likelihood estimation when the sample has a very large positive skewness. In addition, finite sample results from a simulation study indicate that the new procedure is more accurate than recently proposed modifications of both moment and maximum likelihood methods over important portions of the parameters space.

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