On robust estimation of the common scale parameter of several Pareto distributions

Abdulaziz Elfessi and Chun Jin

Statistics & Probability Letters, 1996, vol. 29, issue 4, 345-352

Abstract: The problem of robust estimation of the common scale parameter of several Pareto distributions with unknown and possibly unequal shape parameters is considered. In this paper, a wide class of estimators dominating the maximum likelihood estimator (MLE) is derived under a class of convex loss functions. The problem discussed in this paper arises quite frequently in socio-economics, reliability, life testing, and survival analysis.

Keywords: Pareto; distribution; Common; scale; parameter; Convex; loss; function (search for similar items in EconPapers)
Date: 1996
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