The Estimation of Pareto Distribution by a Weighted Least Square Method

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Title:	The Estimation of Pareto Distribution by a Weighted Least Square Method
Authors:	Hai-Lin Lu Shin-Hwa Tao
Contributors:	資訊管理系
Keywords:	Pareto distribution weighted least square method type II censored data
Date:	2007-12
Issue Date:	2010-01-11 11:12:36 (UTC+8)
Abstract:	The two-parameter Pareto distribution provides reasonably good fit to the distributions of income and property value, and explains many empirical phenomena. For the censored data, the two parameters are regularly estimated by the maximum likelihood estimator, which is complicated in computation process. This investigation proposes a weighted least square estimator to estimate the parameters. Such a method is comparatively concise and easy to perceive, and could be applied to either complete or truncated data. Simulation studies are conducted in this investigation to show the feasibility of the proposed method. This report will demonstrate that the weighted least square estimator gives better performance than unweighted least square estimators with simulation cases. We also illustrate that the weighted least square estimator is very close to maximum likelihood estimator with simulation studies.
Relation:	Quality& Quantity 41(6) ： p.913-926
Appears in Collections:	[Dept. of Information Management] Periodical Articles

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