On asymptotics of the maximum likelihood scale invariant estimator of the shape parameter of the gamma distribution
Volume 35 / 2008
Applicationes Mathematicae 35 (2008), 33-47
MSC: Primary 62F12; Secondary 62F10, 33B15.
DOI: 10.4064/am35-1-2
Abstract
The maximum likelihood scale invariant estimator of the shape parameter of the gamma distribution, proposed by the authors [Statist. Probab. Lett. 78 (2008)], is considered. The asymptotics of the mean square error of this estimator, with respect to that of the usual maximum likelihood estimator, is established.
