Finite sample behaviour of classical and quantile regression estimators for the Pareto distribution
- Citation:
- Caeiro, F., Martins A. P., & Sequeira I. J. (2015). Finite sample behaviour of classical and quantile regression estimators for the Pareto distribution. Proceedings of the International Conference on Numerical Analysis and Applied Mathematics 2014, ICNAAM 2014. 1648, , 2015/3/10: American Institute of Physics Inc.
Abstract:
The Pareto distribution is a well known and important model in Statistics. It has been used to study large incomes, city population size, size of losses, stock price fluctuations, number of citations received by papers and other similar phenomena. In this work we compare the finite sample performance of several estimation methods, namely the Moment, Maximum Likelihood and Quantile Regression methods. The comparison will be made through a Monte-Carlo simulation study.The Pareto distribution is a well known and important model in Statistics. It has been used to study large incomes, city population size, size of losses, stock price fluctuations, number of citations received by papers and other similar phenomena. In this work we compare the finite sample performance of several estimation methods, namely the Moment, Maximum Likelihood and Quantile Regression methods. The comparison will be made through a Monte-Carlo simulation study.
Notes:
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