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

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  • Adam Lenart

    (Max Planck Institute for Demographic Research, Rostock, Germany)

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    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.

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    File URL: http://www.demogr.mpg.de/papers/working/wp-2012-008.pdf
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    Bibliographic Info

    Paper provided by Max Planck Institute for Demographic Research, Rostock, Germany in its series MPIDR Working Papers with number WP-2012-008.

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    Length: 19 pages
    Date of creation: Feb 2012
    Date of revision:
    Handle: RePEc:dem:wpaper:wp-2012-008

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    Web page: http://www.demogr.mpg.de/

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