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

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  • Takagi, Yoshiji

Abstract

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.

Suggested Citation

  • Takagi, Yoshiji, 2012. "On the estimation of the shape parameter of the gamma distribution in second-order asymptotics," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 15-21.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:1:p:15-21
    DOI: 10.1016/j.spl.2011.09.002
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    References listed on IDEAS

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    1. Zaigraev, A. & Podraza-Karakulska, A., 2008. "On estimation of the shape parameter of the gamma distribution," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 286-295, February.
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