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A New Class of Generalized Probability-Weighted Moment Estimators for the Pareto Distribution

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Resumo:Estimation based on probability-weighted moments is a well-established method and an excellent alternative to the classic method of moments or the maximum likelihood method, especially for small sample sizes. In this research, we developed a new class of estimators for the parameters of the Pareto type I distribution. A generalization of the probability-weighted moments approach is the foundation for this new class of estimators. It has the advantage of being valid in the entire parameter space of the Pareto distribution. We established the asymptotic normality of the new estimators and applied them to simulated and real datasets in order to illustrate their finite sample behavior. The results of comparisons with the most used estimation methods were also analyzed.
Autores principais:Caeiro, Frederico
Outros Autores:Mateus, Ayana
Assunto:asymptotic distribution parameter estimation Pareto distribution probability-weighted moment Computer Science (miscellaneous) General Mathematics Engineering (miscellaneous)
Ano:2023
País:Portugal
Tipo de documento:artigo
Tipo de acesso:acesso aberto
Instituição associada:Universidade Nova de Lisboa
Idioma:inglês
Origem:Repositório Institucional da UNL

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