Algorithmic Inference of Two-Parameter Gamma Distribution (original) (raw)

Abstract

We provide an estimation procedure of the two-parameter Gamma distribution based on the Algorithmic Inference approach. As a key feature of this approach, we compute the joint probability distribution of these parameters without assuming any prior. To this end we propose a numerical algorithm which is often beneficial of a highly efficient speed up based on an approximate analytical expression of the probability distribution. We contrast our interval and point estimates with those recently obtained in Son and Oh (2006). We realize that our estimates are both unbiased and more accurate, albeit more dispersed than Bayesian methods.

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