Maximum Likelihood Estimation for q-Exponential (Tsallis) Distributions

Cosma Rohilla Shalizi

Maximum Likelihood Estimation for q-Exponential (Tsallis) Distributions

Statistics Theory 2007-06-13 v2 Data Analysis, Statistics and Probability Statistics Theory

Authors: Cosma Rohilla Shalizi

Abstract

This expository note describes how to apply the method of maximum likelihood to estimate the parameters of the `` $q$ -exponential'' distributions introduced by Tsallis and collaborators. It also describes the relationship of these distributions to the classical Pareto distributions.

Keywords

extreme value theory probability distribution

Cite

@article{arxiv.math/0701854,
  title  = {Maximum Likelihood Estimation for q-Exponential (Tsallis) Distributions},
  author = {Cosma Rohilla Shalizi},
  journal= {arXiv preprint arXiv:math/0701854},
  year   = {2007}
}

Comments

4 pages, 1 figure; accompanying R code available from http://bactra.org/research/tsallis-MLE/. V2: Added results on estimation from censored data, re-arranged introduction, minor corrections and wording changes throughout, updated code

Maximum Likelihood Estimation for q-Exponential (Tsallis) Distributions

Abstract

Keywords

Cite

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