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B1888
Title: Improving the probability weighted moment to estimate the shape Pareto model Authors:  Frederico Caeiro - NOVA.ID.FCT - Universidade Nova de Lisboa (Portugal)
Ayana Mateus - NOVA.ID.FCT - Universidade Nova de Lisboa (Portugal) [presenting]
Abstract: The Pareto distribution was first introduced as a model for large incomes and nowadays has been extensively used for modelling events in fields such as bibliometrics, demography, insurance, finance, risk management, biology and astronomy. We propose a consistent estimator for any positive shape parameter of the Pareto distribution. This objective is achieved through a modification of the probability weighted moments method. We also compare, through a Monte Carlo simulation study, the finite sample performance of the proposed estimator, in terms of the mean value and root mean square error, with the most usual estimators from the literature.