On robust estimation of the common scale parameter of several Pareto distributions

The problem of robust estimation of the common scale parameter of several Pareto distributions with unknown and possibly unequal shape parameters is considered. In this paper, a wide class of estimators dominating the maximum likelihood estimator (MLE) is derived under a class of convex loss functions. The problem discussed in this paper arises quite frequently in socio-economics, reliability, life testing, and survival analysis.

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Year of publication:	1996
Authors:	Elfessi, Abdulaziz ; Jin, Chun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 29.1996, 4, p. 345-352
Publisher:	Elsevier
Keywords:	Pareto distribution Common scale parameter Convex loss function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259101