Journal
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
Volume 46, Issue 3, Pages 438-450Publisher
KOREAN STATISTICAL SOC
DOI: 10.1016/j.jkss.2017.01.004
Keywords
Pareto distribution; Parameter estimation; Weighted linear regression; Robust estimation
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Funding
- Basic Science Research Program of the National Research Foundation of Korea [NRF-2015R1A1A1A05027336]
- University of Seoul
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In estimating the parameters of the two-parameter Pareto distribution it is well known that the performance of the maximum likelihood estimator deteriorates when sample sizes are small or the underlying model is contaminated. In this paper we propose a new parameter estimator that utilizes a pivotal quantity based on the regression framework, allowing separate estimation of the two parameters in a straightforward manner. The consistency of the estimator is also established. Simulation studies show that the proposed estimator is a competitive, well-rounded robust estimator for both Pareto and contaminated Pareto datasets when the sample sizes are small. (C) 2017 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
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