COMPARISON BETWEEN MLE AND BAYES ESTIMATOR OF SCALE PARAMETER OF GENERALIZED GAMMA DISTRIBUTION WITH KNOWN SHAPE PARAMETERS UNDER SQUARED ERROR LOSS FUNCTION

Abstract

This papers presents the comparison between maximum likelihood estimator(MLE) and Bayes estimator of scale parameter of Generalized gamma distribution under Squared error loss function when shape parameters are known. Maximum likelihood estimator (MLE) of scale parameter is obtained. Using Jeffrey’s prior , Bayes estimator of scale parameter is obtained under squared error loss function .For comparison purpose, a simulation study is also carried out to compute the relative efficiency of Bayes estimator with respect to maximum likelihood estimator.