Estimation of the shape parameter of a Pareto distribution

Yogesh Mani Tripathi, Constantinos Petropoulos and Mayank Jha

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 18, 4459-4468

Abstract: We consider the problem of estimating the shape parameter of a Pareto distribution with unknown scale under an arbitrary strictly bowl-shaped loss function. Classes of estimators improving upon minimum risk equivariant estimator are derived by adopting Stein, Brown, and Kubokawa techniques. The classes of estimators are shown to include some known procedures such as Stein-type and Brewster and Zidek-type estimators from literature. We also provide risk plots of proposed estimators for illustration purpose.

Date: 2018
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DOI: 10.1080/03610926.2017.1376088

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