Parameter estimation for the truncated pareto distribution

被引:185
作者
Aban, IB [1 ]
Meerschaert, MM
Panorska, AK
机构
[1] Univ Alabama Birmingham, Dept Biostat, Birmingham, AL 35294 USA
[2] Univ Otago, Dept Math & Stat, Dunedin, New Zealand
[3] Univ Nevada, Dept Math & Stat, Reno, NV 89557 USA
基金
美国国家科学基金会;
关键词
maximum likelihood estimator; order statistics; Pareto distribution; tail behavior; truncation;
D O I
10.1198/016214505000000411
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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.
引用
收藏
页码:270 / 277
页数:8
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