Bias of the Maximum Likelihood Estimators of the Two-Parameter Gamma Distribution Revisited
AbstractWe consider the quality of the maximum likelihood estimators for the parameters of the two-parameter gamma distribution in small samples. We show that the methodology suggested by Cox and Snell (1968) can be used very easily to bias-adjust these estimators. A simulation study shows that this analytic correction is frequently much more effective than bias-adjusting using the bootstrap – generally by an order of magnitude in percentage terms. The two bias-correction methods considered result in increased variability in small samples, and the original estimators and their bias-corrected counterparts all have similar percentage mean squared errors.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0908.
Length: 19 pages
Date of creation: 23 Sep 2009
Date of revision:
Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
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Maximum likelihood estimator; bias reduction; gamma distribution;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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- Cordeiro, Gauss M. & Klein, Ruben, 1994. "Bias correction in ARMA models," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 169-176, February.
- David E. Giles, 2009. "Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution," Econometrics Working Papers 0901, Department of Economics, University of Victoria.
- David E. Giles & Hui Feng & Ryan T. Godwin, 2011.
"Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution,"
Econometrics Working Papers
1105, Department of Economics, University of Victoria.
- David E. Giles & Hui Feng, 2009. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 0902, Department of Economics, University of Victoria.
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