On the estimation of the shape parameter of the gamma distribution in second-order asymptotics

In the two-parameter case with parameter orthogonality, we propose a method of constructing an estimator with second-order admissibility under any loss function with a given loss coefficient. Furthermore, we give a sufficient condition for any estimator to be second-order admissible or inadmissible. On the basis of these results, the problem of estimating the shape parameter of the gamma distribution is discussed at the level of second-order asymptotics.

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Year of publication:	2012
Authors:	Takagi, Yoshiji
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 15-21
Publisher:	Elsevier
Subject:	Shape parameter of gamma distribution \| Second-order admissibility \| Loss coefficient

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010582243