On the Pareto Type III distribution
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.
|Date of creation:||01 Mar 2007|
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- Creedy, John, 1977. "Pareto and the Distribution of Income," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 23(4), pages 405-11, December.
- 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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