Journal
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
Volume 101, Issue 473, Pages 270-277Publisher
AMER STATISTICAL ASSOC
DOI: 10.1198/016214505000000411
Keywords
maximum likelihood estimator; order statistics; Pareto distribution; tail behavior; truncation
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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.
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