Generalizing the Pareto to the log-Pareto model and statistical inference
Abstract In this article we introduce a full-fledged statistical model of log-Pareto distribution functions (dfs) parametrized by two shape parameters and a scale parameter. Pareto dfs can be regained in the limit by varying parameters of log-Pareto dfs, whence the log-Pareto model can be regarded a...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Cormann, Ulf [verfasserIn] |
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| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2008 |
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| Schlagwörter: |
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| Anmerkung: |
© Springer Science+Business Media, LLC 2008 |
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| Übergeordnetes Werk: |
Enthalten in: Extremes - Springer US, 1998, 12(2008), 1 vom: 16. Sept., Seite 93-105 |
|---|---|
| Übergeordnetes Werk: |
volume:12 ; year:2008 ; number:1 ; day:16 ; month:09 ; pages:93-105 |
| Links: |
|---|
| DOI / URN: |
10.1007/s10687-008-0070-6 |
|---|
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OLC2071719948 |
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| 520 | |a Abstract In this article we introduce a full-fledged statistical model of log-Pareto distribution functions (dfs) parametrized by two shape parameters and a scale parameter. Pareto dfs can be regained in the limit by varying parameters of log-Pareto dfs, whence the log-Pareto model can be regarded as an extension of the Pareto model. Log-Pareto dfs are first of all obtained by means of exponential transformations of Pareto dfs. We also indicate an iterated application of such a procedure. A class of generalized log-Pareto dfs is considered as well. In addition, power-pot (p-pot) stable dfs – related to p-max stable dfs – are introduced and log-Pareto dfs are identified as special cases. A modification of a quick (systematic) estimator is proposed as an initial estimator for the numerical computation of the maximum likelihood estimator (MLE) in the 3-parameter model. | ||
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| 650 | 4 | |a Copepod data | |
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Cormann, Ulf Reiss, Rolf-Dieter |
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Cormann, Ulf |
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generalizing the pareto to the log-pareto model and statistical inference |
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Generalizing the Pareto to the log-Pareto model and statistical inference |
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Abstract In this article we introduce a full-fledged statistical model of log-Pareto distribution functions (dfs) parametrized by two shape parameters and a scale parameter. Pareto dfs can be regained in the limit by varying parameters of log-Pareto dfs, whence the log-Pareto model can be regarded as an extension of the Pareto model. Log-Pareto dfs are first of all obtained by means of exponential transformations of Pareto dfs. We also indicate an iterated application of such a procedure. A class of generalized log-Pareto dfs is considered as well. In addition, power-pot (p-pot) stable dfs – related to p-max stable dfs – are introduced and log-Pareto dfs are identified as special cases. A modification of a quick (systematic) estimator is proposed as an initial estimator for the numerical computation of the maximum likelihood estimator (MLE) in the 3-parameter model. © Springer Science+Business Media, LLC 2008 |
| abstractGer |
Abstract In this article we introduce a full-fledged statistical model of log-Pareto distribution functions (dfs) parametrized by two shape parameters and a scale parameter. Pareto dfs can be regained in the limit by varying parameters of log-Pareto dfs, whence the log-Pareto model can be regarded as an extension of the Pareto model. Log-Pareto dfs are first of all obtained by means of exponential transformations of Pareto dfs. We also indicate an iterated application of such a procedure. A class of generalized log-Pareto dfs is considered as well. In addition, power-pot (p-pot) stable dfs – related to p-max stable dfs – are introduced and log-Pareto dfs are identified as special cases. A modification of a quick (systematic) estimator is proposed as an initial estimator for the numerical computation of the maximum likelihood estimator (MLE) in the 3-parameter model. © Springer Science+Business Media, LLC 2008 |
| abstract_unstemmed |
Abstract In this article we introduce a full-fledged statistical model of log-Pareto distribution functions (dfs) parametrized by two shape parameters and a scale parameter. Pareto dfs can be regained in the limit by varying parameters of log-Pareto dfs, whence the log-Pareto model can be regarded as an extension of the Pareto model. Log-Pareto dfs are first of all obtained by means of exponential transformations of Pareto dfs. We also indicate an iterated application of such a procedure. A class of generalized log-Pareto dfs is considered as well. In addition, power-pot (p-pot) stable dfs – related to p-max stable dfs – are introduced and log-Pareto dfs are identified as special cases. A modification of a quick (systematic) estimator is proposed as an initial estimator for the numerical computation of the maximum likelihood estimator (MLE) in the 3-parameter model. © Springer Science+Business Media, LLC 2008 |
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Generalizing the Pareto to the log-Pareto model and statistical inference |
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