Displaying similar documents to “The Conditional Maximum Likelihood Estimator of the Shape Parameter in the Gamma Distribution.”

On asymptotics of the maximum likelihood scale invariant estimator of the shape parameter of the gamma distribution

A. Zaigraev, A. Podraza-Karakulska (2008)

Applicationes Mathematicae

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The maximum likelihood scale invariant estimator of the shape parameter of the gamma distribution, proposed by the authors [Statist. Probab. Lett. 78 (2008)], is considered. The asymptotics of the mean square error of this estimator, with respect to that of the usual maximum likelihood estimator, is established.

Bayesian estimation of AR(1) models with uniform innovations

Hocine Fellag, Karima Nouali (2005)

Discussiones Mathematicae Probability and Statistics

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The first-order autoregressive model with uniform innovations is considered. In this paper, we propose a family of BAYES estimators based on a class of prior distributions. We obtain estimators of the parameter which perform better than the maximum likelihood estimator.

On non-existence of moment estimators of the GED power parameter

Bartosz Stawiarski (2016)

Discussiones Mathematicae Probability and Statistics

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We reconsider the problem of the power (also called shape) parameter estimation within symmetric, zero-mean, unit-variance one-parameter Generalized Error Distribution family. Focusing on moment estimators for the parameter in question, through extensive Monte Carlo simulations we analyze the probability of non-existence of moment estimators for small and moderate samples, depending on the shape parameter value and the sample size. We consider a nonparametric bootstrap approach and prove...