2007 Volume 58 Issue 5 Pages 342-352
The gamma distribution, having location (threshold), scale and shape parameters, is used as a model for distributions of life spans, reaction time, and for other types of non-symmetrical data. It has been said that the inference for the three-parameter gamma distribution is difficult because of the nonregularity in maximum likelihood estimation in spite of the numerous papers have appeared over the years. On the other hand, the methodology for inference for the two-parameter gamma distribution has been established over the years. It is usual to avoid fitting the three-parameter gamma distribution and two-parameter gamma distribution to data in practice. In this article, we propose a new method for estimating the shape parameter of the gamma distribution based on data transformation free from location and scale parameters. The method is easily implemented with the aid of a table or graph. A simulation study shows that the proposed estimator performs better than the maximum likelihood estimator of the shape parameter of the two-parameter gamma distribution when the threshold exists even when it is close to zero.
