Related papers: Estimating Wealth Distribution: Top Tail and Inequ…
We propose a stochastic model of evolution of wealth in a society of economic agents. In the model, an agent can be in two states: inactive and active. Transitions between the states occur at random time intervals. In the active state, the…
A decision must often be made between heavy-tailed and Gaussian errors for a regression or a time series model, and the t-distribution is frequently used when it is assumed that the errors are heavy-tailed distributed. The performance of…
Mounting evidences are being gathered suggesting that income and wealth distribution in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium, but also deviating…
In order to describe the properties of the observed distribution of wealth in a population, most economic models rely on the existence of an asymptotic equilibrium state. In addition, the process generating the equilibrium distribution is…
A common bottleneck in evaluating extremal performance measures is that, due to their very nature, tail data are often very limited. The conventional approach selects the best probability distribution from tail data using parametric…
It has been conjectured that canonical Bewley--Huggett--Aiyagari heterogeneous-agent models cannot explain the joint distribution of income and wealth. The results stated below verify this conjecture and clarify its implications under very…
A mathematical model of measurement of the perception of well-being for groups with increasing incomes, but proportionally unequal is proposed. Assuming that welfare grows with own income and decreases with relative inequality (income of…
We find the wealth distribution for an economic agent in the financial market, in analogy with standard derivation of generaliz Boltzman (Tsallis) factor in statistical mechanics. In this respect, Tsallis entropic index separates two…
We study wealth rank correlations in a simple model of macro-economy. To quantify rank correlations between wealth rankings at different times, we use Kendall's $\tau$ and Spearman's $\rho$, Goodman--Kruskal's $\gamma$, and the lists'…
We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically unbiased estimators for three distributional quantities of…
This paper uses firm-level data recorded in the AMADEUS database to investigate the distribution of labour productivity in different European countries. We find that the upper tail of the empirical productivity distributions follows a…
I measure the uncertainty affecting estimates of economic inequality in the US and investigate how accounting for properly estimated standard errors can affect the results of empirical and structural macroeconomic studies. In my analysis, I…
We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…
Heavy tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with Internet transaction datasets, and machine learners often analyze such data without considering the biases…
By introducing a weight function into the density power divergence, we develop a new class of robust and smooth estimators for the tail index of Pareto-type distributions, offering improved efficiency in the presence of outliers. These…
Using the empirical data from the Norwegian tax office, we analyse the wealth and income of the richest individuals in Norway during the period 2010--2013. We find that both annual income and wealth level of the richest individuals are…
This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, i.e. of which 1-d Pareto-like marginals share the same tail index. A multivariate…
A novel statistical method is proposed and investigated for estimating a heavy tailed density under mild smoothness assumptions. Statistical analyses of heavy-tailed distributions are susceptible to the problem of sparse information in the…
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…
An equation for the evolution of the distribution of wealth in a population of economic agents making binary transactions with a constant total amount of "money" has recently been proposed by one of us (RLR). This equation takes the form of…