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Fisher information matrix for the Feller-Pareto distribution

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  • Brazauskas, Vytaras

Abstract

In this paper, the exact form of Fisher information matrix for the Feller-Pareto (FP) distribution is determined. The FP family is a very general unimodal distribution which includes a variety of distributions as special cases. For example: - A hierarchy of Pareto models: Pareto (I), Pareto (II), Pareto (III), and Pareto (IV) (see Arnold (Pareto Distributions, International Cooperative Publishing House, Fairland, MD, 1983)); and - Transformed beta family which in turn includes such general families as Burr, Generalized Pareto, and Inverse Burr (see Klugman et al. (Loss Models: From Data to Decisions, Wiley, New York, 1998)). Application of these distributions covers a wide spectrum of areas ranging from actuarial science, economics, finance to biosciences, telecommunications, and extreme value theory.

Suggested Citation

  • Brazauskas, Vytaras, 2002. "Fisher information matrix for the Feller-Pareto distribution," Statistics & Probability Letters, Elsevier, vol. 59(2), pages 159-167, September.
    • Handle: RePEc:eee:stapro:v:59:y:2002:i:2:p:159-167
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    References listed on IDEAS

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    1. A. C. Kimber, 1983. "Trimming in Gamma Samples," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 32(1), pages 7-14, March.
    2. Vytaras Brazauskas & Robert Serfling, 2000. "Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 12-27.
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    Cited by:

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    2. Gholamreza Hajargasht & William E. Griffiths, 2016. "Inference for Lorenz Curves," Department of Economics - Working Papers Series 2022, The University of Melbourne.
    3. Stanislaw Maciej Kot & Piotr Paradowski, 2022. "The Atlas of Inequality Aversion: Theory and Empirical Evidence from the Luxembourg Income Study Database," LIS Working papers 826, LIS Cross-National Data Center in Luxembourg.
    4. Park, Jeong-Soo & Yoon Kim, Tae, 2007. "Fisher information matrix for a four-parameter kappa distribution," Statistics & Probability Letters, Elsevier, vol. 77(13), pages 1459-1466, July.
    5. Paul Larsen, 2015. "Asyptotic Normality for Maximum Likelihood Estimation and Operational Risk," Papers 1508.02824, arXiv.org, revised Aug 2016.
    6. Monique Graf & Desislava Nedyalkova, 2014. "Modeling of Income and Indicators of Poverty and Social Exclusion Using the Generalized Beta Distribution of the Second Kind," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(4), pages 821-842, December.
    7. Masato Okamoto, 2013. "Extension of the κ-generalized distribution: new four-parameter models for the size distribution of income and consumption," LIS Working papers 600, LIS Cross-National Data Center in Luxembourg.

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