Estimate the two parameters of gamma distribution under entropy loss function

Abstract EN

In this paper, Bayes estimators for the shape and scale parameters of Gamma distribution under the Entropy loss function have been obtained, assuming Gamma and Exponential priors for the shape and scale parameters respectively.

Moment, Maximum likelihood estimators and Lindley’s approximation have been used effectively in Bayesian estimation.

Based on Monte Carlo simulation method, those estimators are compared depending on the mean squared errors (MSE’s).

The results show that, the performance of the Bayes estimator under Entropy loss function is better than other estimates in all cases.