289023

Modern Robust M-Estimation of the Gamma Distribution with Extreme Observations

Article

Last updated: 04 Jan 2025

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Abstract

In this paper, three objective functions of M-estimates (Huber, Hampel, and Bisquare) are used in order to obtain robust estimates of the gamma distribution parameters, and then compare its estimates with estimates provided by the common conventional methods (moment estimators, maximum-likelihood estimators and method of maximum product spacings), to determine the most appropriate methods for estimating the parameters of gamma distribution, by applying the previous methods to real data as well as to generated data, both of which contain different percentages of outliers. Monte Carlo simulation was used to perform the numerical comparison. The simulation results confirmed that the M-estimates give more accurate and higher efficiency estimations when estimating the gamma distribution parameter. It was concluded that the most suitable method for estimating the gamma distribution parameters is the M- estimation method with its three objective functions (Huber, Hampel, and Bisquare), for small and large samples especially in the presence of outliers, and its estimates, in this case, are characterized by greater accuracy and higher efficiency. It was also concluded that the best estimate of robust M-estimation, in this case, is Bisquare method.

DOI

10.21608/cfdj.2023.289023

Keywords

Classical Methods, M-estimations, Objective functions, outliers, Root Mean Squared Error, simulation study, Two-Parameter Gamma Distribution

Authors

First Name

Mohamed Abdelsalam

Last Name

Agamy

MiddleName

-

Affiliation

Assistant Prof. of statistic, Faculty of Commerce, Al-Azhar University (Boys' Branch), Egypt.

Email

dr.muhammad_alagamy@azhar.edu.eg

City

القاهرة

Orcid

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First Name

Ezzat Hussein

Last Name

Khmar

MiddleName

-

Affiliation

Assistant Prof. of statistic, Faculty of Commerce, Al-Azhar University (Boys' Branch), Egypt.

Email

ezzat4228@gmail.com

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-

Orcid

-

Volume

4

Article Issue

2

Related Issue

40047

Issue Date

2023-07-01

Receive Date

2023-03-07

Publish Date

2023-07-01

Page Start

621

Page End

641

Print ISSN

2682-3403

Online ISSN

2682-4531

Link

https://cfdj.journals.ekb.eg/article_289023.html

Detail API

https://cfdj.journals.ekb.eg/service?article_code=289023

Order

289,023

Type

المقالة الأصلية

Type Code

1,242

Publication Type

Journal

Publication Title

المجلة العلمية للدراسات والبحوث المالية والتجارية

Publication Link

https://cfdj.journals.ekb.eg/

MainTitle

Modern Robust M-Estimation of the Gamma Distribution with Extreme Observations

Details

Type

Article

Created At

25 Dec 2024