Constructing elementary procedures for inference of the gamma distribution |
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| Authors: | Takemi Yanagimoto Eiji Yamamoto |
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| Affiliation: | (1) The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-ku, 106 Tokyo, Japan;(2) Department of Applied Mathematics, Okayama University of Science, 700 Okayama, Japan |
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| Abstract: | The aim of the present paper is to construct a series of estimators and tests in the one and the two sample problems in the gamma distribution through the Kullback-Leibler loss. Some of them are newly introduced here. When the approach is applied to the case of the normal distribution, the well known estimators and tests are derived. It is found that the conditional maximum likelihood estimator of the dispersion parameter plays a key role. |
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| Keywords: | Chi-square test conditional inference exponential family F-test Kullback-Leibler loss |
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