Simplification of joint confidence regions for the parameters of the Pareto distribution

Jin Zhang ()

Computational Statistics, 2013, vol. 28, issue 4, 1453-1462

Abstract: The Pareto distribution is an important distribution in statistics, which has been widely used in economics to model the distribution of incomes. Separate interval estimations for parameters of the Pareto distribution have been well established in the literature. For a type-II right censored sample, Chen (Metrika 44:191–197, 1996 ) proposed a joint confidence region for the parameters. Wu (Comput Stat Data Anal 52:3779–3788, 2008 ) derived a joint confidence region for any type-II censored sample, but its computation is difficult. Both Wu’s and Chen’s results are simplified in this paper, and some errors are corrected. The methodology used in this article can be applied to other distributions, as long as the underlying distribution can be transformed to the standard exponential distribution in a simple way. Copyright Springer-Verlag 2013

Keywords: Distribution function; Guantile; Joint confidence region; Complete sample; Type-II censored sample (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s00180-012-0354-9

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