Related papers: When the Cramer-Rao Inequality provides no informa…
We investigate the accumulated wealth distribution by adopting evolutionary games taking place on scale-free networks. The system self-organizes to a critical Pareto distribution (1897) of wealth $P(m)\sim m^{-(v+1)}$ with $1.6 < v <2.0$…
Conducting valid statistical analyses is challenging in the presence of missing-not-at-random (MNAR) data, where the missingness mechanism is dependent on the missing values themselves even conditioned on the observed data. Here, we…
A new non-parametric statistic is introduced for the characterization of deviations from power laws. It is tested on the distribution of seismic energies given by the Gutenberg-Richter law. Based on the two first statistical log-moments, it…
Given n observations, we study the consistency of a batch of k new observations, in terms of their distribution function. We propose a non-parametric, non-likelihood test based on Edgeworth expansion of the distribution function. The…
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form $Pr(X>x) ~ x**(-alpha) for…
Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance…
We fit the exponent of the Pareto distribution, that is equivalent or can approximate the continuous power law distribution given a cutoff point, using linear regression (LR). We use LR on the logged variables of the empirical tail (one…
We study the distribution P(\omega) of the random variable \omega = x_1/(x_1 + x_2), where x_1 and x_2 are the wealths of two individuals selected at random from the same tempered Paretian ensemble characterized by the distribution \Psi(x)…
We derive an expression for the nearest-neighbor spacing distribution $P(s)$ of the energy levels of quantum systems with intermediate dynamics between regularity and chaos and missing levels due to random experimental errors. The…
The distribution of gross earnings of movies released each year show a distribution having a power-law tail with Pareto exponent $\alpha \simeq 2$. While this offers interesting parallels with income distributions of individuals, it is also…
We reexamine the classical linear regression model when the model is subject to two types of uncertainty: (i) some of covariates are either missing or completely inaccessible, and (ii) the variance of the measurement error is undetermined…
In this note we give a characterization of a family of relative entropies on open domain depending on a real parameter $\alpha$ based on recursivity and symmetry. In the cases $\alpha=1$ and $\alpha=0$ we use additionally a weak regularity…
Nature is full of random networks of complex topology describing such apparently disparate systems as biological, economical or informatical ones. Their most characteristic feature is the apparent scale-free character of interconnections…
This article is a supplement to my main contribution to the Routledge Handbook of Complexity Economics (2023). On the basis of three recent papers, it presents an unconventional perspective on economic inequality from a statistical physics…
The statistical state for the empirical Pareto's 80/20 rule has been found to correspond to a normal or Gaussian distribution with a standard deviation that is twice the mean. This finding represents large characteristic variations in our…
The double Pareto distribution is a heavy-tailed distribution with a power-law tail, that is generated via geometric Brownian motion with an exponentially distributed observation time. In this study, we examine a modified model wherein the…
We propose new goodness-of-fit tests for the Pareto type I distribution. These tests are based on a multiplicative version of the memoryless property which characterises this distribution. We present the results of a Monte Carlo power study…
We consider the parameter estimation of Markov chain when the unknown transition matrix belongs to an exponential family of transition matrices. Then, we show that the sample mean of the generator of the exponential family is an…
The tail of a bivariate distribution function in the domain of attraction of a bivariate extreme-value distribution may be approximated by the one of its extreme-value attractor. The extreme-value attractor has margins that belong to a…
The tree-depth is a parameter introduced under several names as a measure of sparsity of a graph. We compute asymptotic values of the tree-depth of random graphs. For dense graphs, p>> 1/n, the tree-depth of a random graph G is a.a.s.…