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Parameter estimation for the truncated pareto distribution

delete2006-03-01
delete209
PRE
AI
A
Aban, IB
M
Mark M. Meerschaert
A
Anna K. Panorska
DOI：10.1198/016214505000000411delete
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Abstract

Abstract

En 中文
The Pareto distribution is a simple model for nonnegative data with a power law probability tail. In many practical applications, there is a natural upper bound that truncates the probability tail. This article derives estimators for the truncated Pareto distribution, investigates their properties, and illustrates a way to check for fit. These methods are illustrated with applications from finance, hydrology, and atmospheric science.
Keywords:
maximum likelihood estimator
order statistics
Pareto distribution
tail behavior
truncation
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Journal

J
Journal of the American Statistical Association
IF:
3
Papers:
5.1K
Citations:
4.8W

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