Parameter Estimation for the Double Pareto Distribution | Science Publications

Journal of Mathematics and Statistics

Faris M. Al-Athari¹ 

关键词: Bayesian method;    modified Jeffrey's prior;    maximum likelihood;    moments estimators;   

DOI  :  10.3844/jmssp.2011.289.294

学科分类：社会科学、人文和艺术（综合）

来源: Science Publications

【 摘 要 】

Problem statement: The double Pareto distribution appeared most often as model for variety of fields, including archaeology, biology, economics, environmental science, finance and physics. The distribution exhibits Paretian power-law behavior in both tails. The family of double Pareto distributions has recently been proposed for modeling growth rates such as annual gross domestic product, stock prices, foreign currency exchange rates and company sizes. In this study, I develop parameter estimates for the double Pareto distribution that are easy to compute. I compare the performance of the maximum likelihood estimate with Bayesian and the method of moments estimates. Approach: This study contracted with maximum likelihood, the method of moments and Bayesian using Jeffrey

【 授权许可】

Unknown