Comparing Estimation Methods for the Power–Pareto Distribution

Frederico Caeiro () and Mina Norouzirad
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Frederico Caeiro: Department of Mathematics and Center for Mathematics and Applications (NOVA Math), NOVA School of Science and Technology (NOVA FCT), 2829-516 Caparica, Portugal
Mina Norouzirad: Center for Mathematics and Applications (NOVA Math), NOVA School of Science and Technology (NOVA FCT), 2829-516 Caparica, Portugal

Econometrics, 2024, vol. 12, issue 3, 1-28

Abstract: Non-negative distributions are important tools in various fields. Given the importance of achieving a good fit, the literature offers hundreds of different models, from the very simple to the highly flexible. In this paper, we consider the power–Pareto model, which is defined by its quantile function. This distribution has three parameters, allowing the model to take different shapes, including symmetrical and left- and right-skewed. We provide different distributional characteristics and discuss parameter estimation. In addition to the already-known Maximum Likelihood and Least Squares of the logarithm of the order statistics estimation methods, we propose several additional methods. A simulation study and an application to two datasets are conducted to illustrate the performance of the estimation methods.

Keywords: parameter estimation; power–Pareto distribution; quantile function (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2024
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