Parameter estimation for the truncated pareto distribution

• 成果类型: Article
• 署名作者: Aban, IB; Meerschaert, MM; Panorska, AK
• 署名单位: University of Alabama System; University of Alabama Birmingham; University of Otago; Nevada System of Higher Education (NSHE); University of Nevada Reno
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/016214505000000411
• 发表日期: 2006
• 页码: 270-277
• 关键词: time random-walks; dispersion; frequency; tail

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.