Estimating the Matthew Effects: Switching Pareto Dynamics

Robert J. Elliott ()
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Robert J. Elliott: University of Calgary, School of Business, University of South Australia, Haskayne School of Business

A chapter in Stochastic Analysis, Filtering, and Stochastic Optimization, 2022, pp 137-146 from Springer

Abstract: Abstract Pareto distributions can describe the clustering of observations and give rise to sayings such as ‘The rich gets richer and the poor gets poorer’. They are sometimes generated by counting processes whose rate depends on external factors. In turn, these factors are modelled by a finite state Markov chain Z. New filters are derived which estimate Z together with other parameters of the model.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-98519-6_6

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DOI: 10.1007/978-3-030-98519-6_6

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