Opuscula Math. 29, no. 3 (2009), 305-312

Opuscula Mathematica

A note on the maximum likelihood estimator in the gamma regression model

Jerzy P. Rydlewski

Abstract. This paper considers a nonlinear regression model, in which the dependent variable has the gamma distribution. A model is considered in which the shape parameter of the random variable is the sum of continuous and algebraically independent functions. The paper proves that there is exactly one maximum likelihood estimator for the gamma regression model.

Keywords: gamma regression, nonlinear regression, maximum likelihood estimator, shape parameter.

Mathematics Subject Classification: 62J02, 62F10.

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  • Jerzy P. Rydlewski
  • AGH University of Science and Technology, Faculty of Applied Mathematics, al. Mickiewicza 30, 30-059 Krakow, Poland
  • Jagiellonian University, Department of Mathematics, ul. Łojasiewicza 6, 30-348 Krakow, Poland
  • Received: 2009-03-20.
  • Revised: 2009-04-12.
  • Accepted: 2009-04-20.
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Cite this article as:
Jerzy P. Rydlewski, A note on the maximum likelihood estimator in the gamma regression model, Opuscula Math. 29, no. 3 (2009), 305-312, http://dx.doi.org/10.7494/OpMath.2009.29.3.305

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