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I have some issues with an exercise where I have to find an approximate pivot for a gamma distribution... Indeed, I understand how to find a pivot for a normal distribution, but I don't understand how to do that when the distribution is not the normal distribution. However, what is the different between a pivot and an approximate pivot ?

In my exercise, I have a gamma distribution with parameters α known and β unknown. I found the estimator for β, and now I have to find an approximate pivot for this estimator. Then, I have to find a 95% Wald confidence interval for the parameter β.

Thank you in advance, Louise

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