Confidence regions for Pareto parameters from a single and independent samples

Stefan Bedbur, Udo Kamps and Jens M. Lennartz

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 13, 3341-3359

Abstract: [Abstract] Based on a single and on two independent samples, joint confidence regions for parameters of Pareto distributions are proposed with minimum volume properties and without assigning the confidence level to dimensions. In the one-sample case, comparisons are made to former simultaneous confidence sets for Pareto parameters by means of simulation and a real data set. The two-sample case is studied in various set-ups and comprises simultaneous confidence regions for the shape parameters, the scale parameters, and higher-dimensional vectors of these parameters, where common shape and common scale models are also considered.

Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/03610926.2018.1476706

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