Estimation in the Pareto Distribution
نویسندگان
چکیده
منابع مشابه
Parameter Estimation for the Truncated Pareto Distribution
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 paper derives estimators for the truncated Pareto distribution, investigates their properties, and illustrates a way to check for fit. We illustrate these methods with applications from finance,...
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There is often interest in understanding how the extremely high/low values of different processes are related to each other. One possible way to tackle this problem is via an asymptotic approach, which involves fitting the multivariate generalized Pareto distribution (MGPD) to data that exceed a suitably high threshold. There are two possible definitions of the MGPD. The first, which has classi...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1990
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.20.2.2005443