On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution
AbstractThe Lomax (Pareto II) distribution has found wide application in a variety of fields. We analyze the second-order bias of the maximum likelihood estimators of its parameters for finite sample sizes, and show that this bias is positive. We derive an analytic bias correction which reduces the percentage bias of these estimators by one or two orders of magnitude, while simultaneously reducing relative mean squared error. Our simulations show that this analytic bias correction outperforms a correction based on the parametric bootstrap. Three examples with actual data illustrate the application of our methods.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1104.
Length: 19 pages
Date of creation: 07 Apr 2011
Date of revision:
Note: ISSN 1485-6441
Contact details of provider:
Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Web page: http://web.uvic.ca/econ
More information through EDIRC
Maximum likelihood estimator; bias reduction; Lomax distribution; Pareto II distribution; bootstrap;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-16 (All new papers)
- NEP-ECM-2011-04-16 (Econometrics)
- NEP-ORE-2011-04-16 (Operations Research)
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