Estimation of P(Y < X) in a Four-Parameter Generalized Gamma Distribution
In this paper we consider estimation of R = P(Y < X), when X and Y are distributed as two independent four-parameter generalized gamma random variables with same location and scale parameters. A modified maximum likelihood method and a Bayesian technique have been used to estimate R on the basis...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-02-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/173 |
| Summary: | In this paper we consider estimation of R = P(Y < X), when X and Y are distributed as two independent four-parameter generalized gamma random variables with same location and scale parameters. A modified maximum likelihood method and a Bayesian technique have been used to estimate R on the basis of independent samples. As the Bayes estimator cannot be obtained in a closed form, it has been implemented using importance sampling procedure. A simulation study has also been carried out to compare the two methods.
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| ISSN: | 1026-597X |