Which estimator of the dispersion parameter for the Gamma family generalized linear models is to be chosen?
نویسنده
چکیده
For the Gamma family generalized linear models, the dispersion parameter is contained in the variance of the model parameter estimator. So it will affect the results of statistical inference or any kinds of tests that refer to variance. This paper reviewed several existing estimators of dispersion parameter via the Monte Carlo experiments to see which one is to be preferred when the sample size is different. The simulation results show that the bias corrected maximum likelihood estimator performs the best in comparison with the other methods when the sample size is small; in large sample size all the estimate methods perform similar.
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