Modified Maximum Likelihood and Modified Moment Estimators for the Three-Parameter Inverse Gaussian Distribution
This article is concerned with modifications of both maximum likelihood and moment estimators for parameters of the three parameter inverse Gaussian distribution . Modifications presented here are essentially the same as those previously proposed by Cohen and Whitten (1980, 1981, 1982a, 1982b) in connection with the 1ognormal, gama and Weibull distributions . Computer programs have been prepared for the practical application of these estimators and an illustrative example is included. Results of a simulation study provide insight into the sampling behavior of the new estimators and include comparisons with the traditional moment and maximum likelihood estimators with respect to bias and standard deviations of estimates. For some combinations of parameter values, some of the modified estimators considered here enjoy advantages over both moment and maximum likelihood estimators with respect to bias, variance, and/or ease of computation.
Chan, M. Y., Clifford Cohen, A., & Jones Whitten, B. (1984). Modified maximum likelihood and modified moment estimators for the three-parameter inverse gaussian distribution. Communications in Statistics - Simulation and Computation, 13(1), 47-68. doi:10.1080/03610918408812358