The generalized gamma distribution is a younger distribution (1962) than the normal distribution (1774). It was
introduced by Stacy and Mihran [15] in order to combine the power of two distributions: the Gamma distribution
and the Weibull distribution. The generalized gamma distribution is a popular distribution because it is extremely
flexible. This distribution is also convenient because it includes as special cases several distributions: the exponential
distribution, the log-normal distribution, the Weibull distribution, the Levy distribution. . .
These interests are nevertheless in contradiction with the difficulties in estimating the parameters. This
topic was dealt in many papers but the complexity of the results proves that this topic is still an opened
item.
This paper proposes a new heuristic approach in parameter estimation of the generalized gamma distribution using
an iterative method. This routine was implemented in Splus software.
In Section 2, we describe the characteristic of the generalized gamma distribution and give some application areas.
An overview of literature on the parameter estimation of the generalized gamma distribution is presented in Section
3. Section 4 deals with the proposed heuristic method called algorithm I.T.E.V. In Section 5, we apply the resulting
routine on known generalized gamma distribution in order to validate the estimation method. We terminate with a
conclusion and some perspectives.