A simulation based approach to the parameter estimation for the three-parameter gamma distribution

A simulation based approach to the parameter estimation for the three-parameter gamma distribution

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Article ID: iaor20051991
Country: Netherlands
Volume: 155
Issue: 3
Start Page Number: 675
End Page Number: 682
Publication Date: Jun 2004
Journal: European Journal of Operational Research
Authors: , , ,
Keywords: simulation: applications
Abstract:

The gamma distribution is one of the commonly used statistical distributions in reliability. While maximum likelihood has traditionally been the main method for estimation of gamma parameters, Hirose has proposed a continuation method to parameter estimation for the three-parameter gamma distribution. In this paper, we propose to apply Markov chain Monte Carlo techniques to carry out a Bayesian estimation procedure using Hirose's simulated data as well as two real data sets. The method is indeed flexible and inference for any quantity of interest is readily available.

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