A simulation based approach to the parameter estimation for the three-parameter gamma distribution
Gamma distribution, Continuation method, Markov chain Monte Carlo, Adaptive rejection sampling
The gamma distribution is one of the commonly used statistical distribution 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.
European Journal of Operational Research
Pang, W.,Hou, S.,Yu, B.,& Li, W. (2004). A simulation based approach to the parameter estimation for the three-parameter gamma distribution. European Journal of Operational Research, 155 (3), 675-682. http://dx.doi.org/10.1016/S0377-2217(02)00883-4