The Gompertz distribution and maximum likelihood estimation of its parameters - a revision

Adam Lenart
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Adam Lenart: Max Planck Institute for Demographic Research, Rostock, Germany

No WP-2012-008, MPIDR Working Papers from Max Planck Institute for Demographic Research, Rostock, Germany

Abstract: The Gompertz distribution is widely used to describe the distribution of adult deaths. Previous works concentrated on formulating approximate relationships to characterize it. However, using the generalized integro-exponential function Milgram (1985) exact formulas can be derived for its moment-generating function and central moments. Based on the exact central moments, higher accuracy approximations can be defined for them. In demographic or actuarial applications, maximum-likelihood estimation is often used to determine the parameters of the Gompertz distribution. By solving the maximum-likelihood estimates analytically, the dimension of the optimization problem can be reduced to one both in the case of discrete and continuous data.

JEL-codes: J1 Z0 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2012
New Economics Papers: this item is included in nep-dem and nep-ecm
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:dem:wpaper:wp-2012-008

DOI: 10.4054/MPIDR-WP-2012-008

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