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On the Pareto Type III distribution

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Author Info
Giulio Bottazzi

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Abstract

This short note analyzes the distributional properties of Pareto Type III random variables. We introduce a three parameters version of the orignal two parameters distribution proposed by Pareto and derive both the density and the characteristic function. The analytic expression of the inverse distribution function is also obtained, together with a simple series expansion of its moments of any order. Finally, we propose a simple statistical exercise designed to show the increased reliability of the Pareto Type III distribution in describing asymptotically dumped power-like behaviors.

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Paper provided by Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy in its series LEM Papers Series with number 2007/08.

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Date of creation: 01 Mar 2007
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Handle: RePEc:ssa:lemwps:2007/08

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Related research
Keywords: Pareto Distribution Fat Tails Power Law Distribution Zipf Law

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References listed on IDEAS
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  1. Mishael Milakovic & Carolina Castaldi, 2004. "Turnover Activity in Wealth Portfolios," Computing in Economics and Finance 2004 120, Society for Computational Economics.
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  2. Creedy, John, 1977. "Pareto and the Distribution of Income," Review of Income and Wealth, Blackwell Publishing, vol. 23(4), pages 405-11, December.
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This page was last updated on 2008-7-22.

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