Goodness of Fit Tests and Power Comparisons for Weighted Gamma Distribution

Singla, Neetu; Jain, Kanchan; Sharma, Suresh

doi:10.57805/revstat.v14i1.177

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Data-driven Tuning Parameter Selection For the Lgpwm Estimator1

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2023

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“…Smaller values of the statistics in (33)-( 35) correspond to a better fit of the Pareto model. For a statistical power comparison between some of the aforementioned statistical tests, see Razali and Wah [45] or Singla et al [46].…”

Section: Data-driven Tuning Parameter Selection For the Lgpwm Estimatormentioning

confidence: 99%

A New Class of Generalized Probability-Weighted Moment Estimators for the Pareto Distribution

Caeiro

Mateus

2023

Mathematics

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Estimation based on probability-weighted moments is a well-established method and an excellent alternative to the classic method of moments or the maximum likelihood method, especially for small sample sizes. In this research, we developed a new class of estimators for the parameters of the Pareto type I distribution. A generalization of the probability-weighted moments approach is the foundation for this new class of estimators. It has the advantage of being valid in the entire parameter space of the Pareto distribution. We established the asymptotic normality of the new estimators and applied them to simulated and real datasets in order to illustrate their finite sample behavior. The results of comparisons with the most used estimation methods were also analyzed.

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Section: Data-driven Tuning Parameter Selection For the Lgpwm Estimatormentioning

confidence: 99%