Noufaily, Angela and Jones, M. C.
(2012).
gamma distribution.
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| URL: | http://www.springerlink.com/content/c9423m42r02216... |
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| DOI (Digital Object Identifier) Link: | http://dx.doi.org/doi:10.1007/s00180-012-0314-4 |
| Google Scholar: | Look up in Google Scholar |
Abstract
We explore computational aspects of likelihood maximization for the generalized gamma (GG) distribution. We formulate a version of the score equations such that the equations involved are individually uniquely solvable. We observe that
the resulting algorithm is well-behaved and competitive with the application of standard optimisation procedures. We also show that a somewhat neglected alternative existing approach to solving the score equations is good too, at least in the basic, three-parameter case. Most importantly, we argue that, in practice, far from being problematic as a number of authors have suggested, the GG distribution is actually particularly amenable to maximum likelihood estimation, by the standards of general three- or more-parameter distributions.We do not, however, make any theoretical advances on questions of convergence of algorithms or uniqueness of roots.
| Item Type: | Journal Article |
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| Copyright Holders: | 2012 Springer-Verlag |
| Keywords: | Broyden–Fletcher–Goldfarb–Shanno algorithm; iterative solution; Nelder–Mead algorithm |
| Academic Unit/Department: | Mathematics, Computing and Technology > Mathematics and Statistics |
| Item ID: | 33032 |
| Depositing User: | Angela Noufaily |
| Date Deposited: | 01 Mar 2012 15:03 |
| Last Modified: | 03 Dec 2012 11:34 |
| URI: | http://oro.open.ac.uk/id/eprint/33032 |
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