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

Author

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  • Elfessi, Abdulaziz
  • Chun Jin

Abstract

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.

Suggested Citation

  • Elfessi, Abdulaziz & Chun Jin, 1996. "On robust estimation of the common scale parameter of several Pareto distributions," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 345-352, September.
    • Handle: RePEc:eee:stapro:v:29:y:1996:i:4:p:345-352
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    References listed on IDEAS

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    1. Haff, L. R., 1979. "An identity for the Wishart distribution with applications," Journal of Multivariate Analysis, Elsevier, vol. 9(4), pages 531-544, December.
    2. S. Saksena & A. Johnson, 1984. "Best unbiased estimators for the parameters of a two-parameter Pareto distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 77-83, December.
    3. H. Malik, 1970. "Estimation of the parameters of the Pareto distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 15(1), pages 126-132, December.
    4. Carl M. Harris, 1968. "The Pareto Distribution as a Queue Service Discipline," Operations Research, INFORMS, vol. 16(2), pages 307-313, April.
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