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Inference for IZAWA’S Bivariate Gamma Distribution
- Authors
- Cho, S.-H.; Johnson, R.A.
- Issue Date
- Sep-2019
- Publisher
- Taylor and Francis Inc.
- Keywords
- Asymptotic distribution; bivariate gamma distribution; fisher information; independence test; likelihood ratio test; MLE
- Citation
- Communications in Statistics - Theory and Methods, v.48, no.17, pp.4350 - 4366
- Journal Title
- Communications in Statistics - Theory and Methods
- Volume
- 48
- Number
- 17
- Start Page
- 4350
- End Page
- 4366
- ISSN
- 0361-0926
- Abstract
- In this article, we aim to establish some theoretical properties of Izawa’s bivariate gamma distribution having equal shape parameters. First, we propose a procedure to obtain the maximum likelihood estimates and derive an expression for the Fisher information. Simulation studies illuminate the properties of maximum likelihood estimators. We also establish an asymptotic test for independence based on the limiting distribution of maximum likelihood estimators. © 2018, © 2018 Taylor & Francis Group, LLC.
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Related Researcher
- Cho, Sang hoon
- College of Natural Sciences (Department of Statistics and Actuarial Science)