Interval Estimation of the Noncentrality Parameter of A Gamma Distribution

Abstract

Asymptotic confidence interval for the noncentrality parameter of a Gamma distribution (or Chi-squared distribution) is derived. An algorithm for computing the maximum likelihood estimator of the non-centrality parameter is developed. A formula for the asymptotic variance of the maximum likelihood estimator is given. From the properties of the maximum likelihood estimator an asymptotic confidence interval is obtained.