Fisher information matrix for the Feller-Pareto distribution

Vytaras Brazauskas

Statistics & Probability Letters, 2002, vol. 59, issue 2, 159-167

Abstract: In this paper, the exact form of Fisher information matrix for the Feller-Pareto (FP) distribution is determined. The FP family is a very general unimodal distribution which includes a variety of distributions as special cases. For example: - A hierarchy of Pareto models: Pareto (I), Pareto (II), Pareto (III), and Pareto (IV) (see Arnold (Pareto Distributions, International Cooperative Publishing House, Fairland, MD, 1983)); and - Transformed beta family which in turn includes such general families as Burr, Generalized Pareto, and Inverse Burr (see Klugman et al. (Loss Models: From Data to Decisions, Wiley, New York, 1998)). Application of these distributions covers a wide spectrum of areas ranging from actuarial science, economics, finance to biosciences, telecommunications, and extreme value theory.

Keywords: Digamma; function; Fisher; information; Pareto; models; Transformed; beta; family; Trigamma; function (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (7)

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