Related papers: On the Truncated Pareto Distribution with applicat…
In this chapter first the statistics of the standard and truncated Pareto distributions are derived and used to fit empirical values of asteroids diameters from different families, namely, Koronis, Eos and Themis, and from the Astorb…
In several applications, ultimately at the largest data, truncation effects can be observed when analysing tail characteristics of statistical distributions. In some cases truncation effects are forecasted through physical models such as…
The statistical parameters of five generalizations of the Lindley distribution, such as the average, variance and moments, are reviewed. A new double truncated Lindley distribution with three parameters is derived. The new distributions are…
Heavy-tailed random samples, as well as their sum or average, are encountered in a number of signal processing applications in radar, communications, finance, and natural sciences. Modeling such data through the Pareto distribution is…
Pareto distributions are widely used models in economics, finance and actuarial sciences. As a result, a number of goodness-of-fit tests have been proposed for these distributions in the literature. We provide an overview of the existing…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…
Recently some papers, such as Aban, Meerschaert and Panorska (2006), Nuyts (2010) and Clark (2013), have drawn attention to possible truncation in Pareto tail modelling. Sometimes natural upper bounds exist that truncate the probability…
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…
The gamma density function is usually defined in interval between zero and infinity. This paper introduces an upper and a lower boundary to this distribution. The parameters which characterize the truncated gamma distribution are evaluated.…
The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…
Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-stable distribution. These distributions can be parametrized…
The modeling and analysis of lifetimes is an important aspect of statistical work in a wide variety of scientific and technological fields. For the first time, the called Kumaraswamy Pareto distribution is introduced and studied. The new…
Transmutation is a technique for extending classical probability distributions in order to give them more flexibility. In this paper, we are interested in cubic transmutations of the Pareto distribution. We establish a general formula that…
We present an overview of possible reasons for the appearance of heavy-tailed distributions in applications to the natural sciences. These distributions include the laws of Pareto, Lotka, and some new ones. The reasons are illustrated using…
In this paper, we define a kernel estimator for the tail index of a Pareto-type distribution under random right-truncation and establish its asymptotic normality. A simulation study shows that, compared to the estimators recently proposed…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
Recently attention has been drawn to practical problems with the use of unbounded Pareto distributions, for instance when there are natural upper bounds that truncate the probability tail. Aban, Meerschaert and Panorska (2006) derived the…
Pareto distributions, and power laws in general, have demonstrated to be very useful models to describe very different phenomena, from physics to finance. In recent years, the econophysical literature has proposed a large amount of papers…
To know the statistical distribution of a variable is an important problem in management of resources. Distributions of the power law type are observed in many real systems. However power law distributions have an infinite variance and thus…