Abstract
The conditional maximum likelihood estimator of the shape parameter in the gamma distribution is studied for a finite sample size in comparison with the (unconditional) maximum likelihood estimator. The former estimator is concluded to be strictly superior to the latter. The reasons for the conclusion include the undesirable behavior of the residual likelihood, the consistency and relatively less bias of the conditional maximum likelihood estimator. Simulation studies for risk comparisons also support the conclusion.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.