Questions tagged [pareto-distribution]

The Pareto distribution is a power distribution which was initially invented to describe the distribution of income but has found application in many other areas.

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How to implement a GLM with Pareto family?

My data fits a Pareto Distribution very well, better than normal exponential, gamma, lognormal, etc. I am trying to find a way to implement a GLM with a Pareto family flag. Ideally I can then run ...
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Discerning differences in groups with millions of datapoints: is a GLM even valid?

I have a MASSIVE dataset of 22 million shrubs from a basin in the southwest US. I have selected 2 response variables which are both positive continuous variables: Shrub Canopy Volume (cubic meters) &...
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Measuring Pareto like metrics for series or dataset [closed]

Pareto rule states that 20% of records accounts for 80% of total. Actually it's just a special case for a certain dataset. If we use a series: from 1 to 10 we can easily see that Pareto rule ...
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Fitting a mixture model distribution to kurtotic data

I need to fit a parametric distribution to data that has non-zero (unknown) kurtosis. First I tried to fit a Pearson type VII / Student's t, but the fitting is especially poor in the two tails, ...
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Building a mixture model that fits well to the tail of a kurtotic distribution

I need to fit a distribution to data that has non-zero (unknown) kurtosis. I tried to fit a Pearson type VII / Student's t, but the fitting is especially poor in the two tails, possibly due to less ...
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Fitted value for Generealized Pareto Distribution Regression

Let say I want to build a model of regression Pareto for the value extreme in payment of damage for insurance. The code in R: ...
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107 views

CDF that combines properties of Pareto and Exponential

Let $Y$ be a random variable defined on the domain $[1;\infty)$ that is distributed according to the cdf $G_Y(y)$. A Pareto distribution, $$ G_Y(y) = 1 - y^{-\theta}$$ has the property that $$ P(Y&...
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Method of moments and MLE estimates for Lomax (Pareto Type 2)

I have this dataset, on which I am supposed to fit Lomax distribution with MM and MLE. Lomax pdf is: $$f(x|\alpha, \lambda) = \frac{\alpha\lambda^\alpha}{\left(\lambda+x\right)^{\alpha+1}}$$ For MM, ...
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50 views

Understanding Hypothesis tests for a Pareto distribution

I'm writing an essay that's looking at the presence of the Pareto Principle in data. Unfortunately, as a consequence of interest, I've picked a topic that involves statistical analysis well above what ...
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41 views

MLE of truncated Pareto distribution

I am trying to apply truncated Pareto distribution to a dataset, but I am not able to find a close form MLE for the shape parameter alpha. Could anyone help me with this: how to estimate the shape ...
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Understanding NBD transaction process and Pareto dropout process plot conceptually

I am learning to use the BTYD package that uses the Pareto/NBD model to calculate CLV. However, I am struggling to understand certain plots conceptually. For ...
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Fitting Pareto distribution to data example in SciPy

In docs.scipy.org there's code to sample data from a Pareto distribution and then fit a curve on top of the sampled data. I could understand most of the code snippet except the term ...
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248 views

Determining shape parameter for Generalized Pareto Distribution Scipy

I have a set of values to which I want to fit a Generalized Pareto Distribution. Scipy provides functions for doing so: https://docs.scipy.org/doc/scipy-0.14.0/reference/generated/scipy.stats....
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Obtaining cdf from pdf when pdf is defined on limited region/support

This is a very simple question, but I want to make sure I am doing it correctly. I have the pdf from a Pareto distribution: $$f(x) = 160 x^{-6}, \ \ 2 \leq x < \infty$$ and want to obtain the ...
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What are the gamma-Pareto convolutions and how have they been used?

The Pareto distributions, i.e., density functions (pdf), are types I through IV and the type II variant; the Lomax distribution. This makes for a number of possible gamma-Pareto convolutions (GPC; ...
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Finding Quantiles and Sampling from a Mixture of Distributions

I am trying to replicate a result in this paper, specifically I am trying to implement the mixture distribution on page 9 of the document. The authors describe a hazard function: $$ h(x):=h_{1}(x) \...
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34 views

Compare return levels of fitted GPD using MLE in different R packages

This question is related to this post: Different quantiles of a fitted GPD in different R packages? I want to constraint "potvalues" data to be in a period of 6 years, this is, 16 observations per ...
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Error while fitting Pareto type 2 distribution

I am trying to fit a pareto type 2 distribution using the following code: ...
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Validity of Monte-Carlo method to estimate a probability distribution which follows a power law

I am using a Monte-Carlo method to estimate a probability distribution function (pdf). Basically, I have several input parameters following known distributions, from which I can draw samples, that I ...
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Why Pareto distribution has pointy head? How its symmetrical version looks like?

I want to use Pareto distribution for the stock price probability distribution. They say (B. Mandelbrot and N. Taleb Mild vs Wild Randomness) it represents the price changes, especially the tail ...
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29 views

Robust sum of non-independent random variables

What approach could be used to sum non-independent variables? I have probability distributions of stock prices and want to calculate the probability distribution of the portfolio price (sum of some ...
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198 views

Posterior Predictive Distribution for Uniform Likelihood and Pareto Prior

I'm trying to find the posterior predictive distribution for data $X_i, \dots X_n$ from a a $Uniform [0, \theta]$ distribution. The prior distribution for $\theta$ is a $Pareto[\alpha, \beta]$ ...
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How can I calculate the exponent (parameter or tail index) of the Pareto distribution associated to the following paperclips experiment?

The experiment is the following: take a pool of paperclips for which in each round we follow these steps: 1) choose two paperclips randomly 2) if they are not linked with each other then link them ...
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91 views

Generating two-sided pareto random numbers

I am trying to generate random numbers from a two-sided Pareto distribution. The paper I'm replicating states that the following two-sided Pareto density function is used: $$ 1-f(x) = f(-x) = \frac{...
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Pareto Variable Transformation [duplicate]

A random sample, $X_1, X_2,... X_n$ is drawn from a Pareto population with pdf $$f(x|\theta)=\frac{\theta}{x^2}I_{[\theta,\infty)}(x)$$ I've been trying to figure out the distribution of $$T=\log\Big[...
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Processes that converge to the Pareto distribution

Do any stochastic processes generate the Pareto distribution as the steady-state statistic of the ensemble? For example, $$ dS_t = f(t, S_t, W_t) $$ where in the Ito sense the p.d.f. of $ g(S_t) $ ...
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173 views

If $X\sim \operatorname{lognormal}$ then $Y:=(X-d\mid x\geq d)$ has approximately a Generalized Pareto distribution

Let $X$ be a random variable with lognormal distribution. Show that when sufficiently large then $Y:=(X-d\mid x\geq d)$ is approximately a random variable with generalized Pareto distribution. Hint: ...
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How does the Pareto principle give the 80/20 rule?

It seems to me that the Pareto principle says that for any $n$-many people that produced $m$-many goods, $\sqrt[2]{n}$-many people would produce $\frac{m}{2}$ many goods out of the total $m$ many ...
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Are there any non parametric tests to check for Pareto data?

I'm in search of a non parametric test to check whether my data are Pareto distributed, but I couldn't find a proper reference for it. I'm using R to simulate these so if there's any R in built test, ...
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How can Pareto(alpha = 5, x_min = 2) be heavy-tailed where alpha is the shape parameter or the tail index?

Point 1 : It's known that, usually, when the tail-index (alpha) is between 0 and 2, of a certain data set, the distribution is considered as heavy-tailed. Point 2 : It's know that Pareto ...
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What's the relationship between Pareto shape parameter (alpha) and exponential rate parameter (lambda)?

I'm trying to do my undergraduate research on non parametric density estimation for a heavy tailed distribution. For that, I'm with a data set, which I assumed it should be Pareto distributed with ...
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Expectation of kth order statistic of Pareto distribution

I am trying to find the expected value of $X_{(k)}$ Given cdf $$ F(x) = \begin{cases} 1-\left(\frac{\sigma}{x}\right)^\alpha, & x > \sigma\\ 0, & \text{else.} \end{cases}$$ My attempt: $$...
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Training Neural Network at Decile Level

I have a simple feed forward neural network regression model that I'm training on customer data to predict their usage amount. The MAPE is above 50%. The data is heavily skewed and when I log ...
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574 views

Sum of N random variables from the same distributions [duplicate]

Given $n$ independent random variables from the same distribution, how to obtain the distribution of their sum? For example, the distribution of $n$ normal distribution is $N(n\mu, n\delta^2)$. ...
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What's the relationship between degrees of freedom of t distribution and tail exponent (alpha) of Pareto distribution?

I'm going to generate a set of data from a T distribution and truncate the body(so that we make it approximately Pareto distributed) of it and estimate the tail exponent(shape parameter) of the ...
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191 views

A statistical test to check whether a set of data are Pareto distributed

I need to construct a statistical test which outputs the p value for the hypothesis, H0: Data are Pareto distributed Vs H1: Data are not Pareto distributed. I found a test in stack exchange, but it's ...
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284 views

Variance of unbiased estimator for the shape parameter of Pareto distribution

I'm interested in getting the error bounds of the unbiased estimator of the shape parameter ($\alpha$) using maximum likelihood method of Pareto distribution. The unbiased estimator is known to be ...
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51 views

What's the formula to estimate the shape parameter of Pareto distribution using weighted least squares method?

I'm trying to simulate my own method using R to estimate the shape parameter of Pareto distributed data by weighted least squares. I searched via several links of research papers, but I could not find ...
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two-parameter Pareto distribution with known A [duplicate]

I am trying to solve the following problem. Any help would be great: Scores are distributed as a two-parameter Pareto distribution with a=3 Scores for 3 groups are as follows: Group A has expected ...
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81 views

need explanation about the exponent parameter s in zipf distribution

I need to model the popularity of some requested files from a library with Zipf distribution and I want to simulate it in MATLAB. I don't know what's the effect of parameter s on my result. for ...
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How does MGF of Pareto distribution of first kind exist for non-positive values of t? [closed]

I have reached upto the stage shown in the attached picture. The r.v. X is always positive and its power $\beta+1$ is also always positive. Therefore, how can it be said that MGF exists for t <= 0? ...
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Prior / Reparameterization for Binomial Hierarchical Model

I am following the argument made by Gelman et al. in Bayesian Data Analysis (ref. in 3rd edition, p.109 onwards) for defining a non-informative prior for a hierarchical Binomial model (in the text, ...
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217 views

LRT for PRT both unknown

I have a random sample of ${X_1,...,X_n}$ from the following pdf: $${\theta \beta^ \theta \over {x^{\theta+1}}}$$ where $\theta>0$, $\beta>0$, $x\ge\beta$ I want to find the LRT to test $H_o:\...
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Quotient of Pareto and Gamma random variables

I cannot find an explicit formula for the quotient of a Pareto random variable divided by a Gamma random variable. The only that I found is something like, for $P(X)$ pareto's like and $P(Y)$ Gamma's ...
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Distribution of $\sum_{j=1}^n\ln\left(\frac{X_{(j)}}{X_{(1)}}\right)$ when $X_i$'s are i.i.d Pareto variables

Let $X_1,X_2,\ldots,X_n$ be i.i.d variables having a Pareto distribution with density $$f(x)=\frac{a\theta^a}{x^{a+1}}1_{x>\theta}\,,$$ where $a,\theta>0$. What is the distribution of $\sum\...
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75 views

uniform pareto system error

Let $X\sim U(0,\theta)$. Given a sample of size n, the likeliohood function is $l(\theta \mid x)=\frac{1}{\theta^n}$ Consider a pareto prior distribution $\theta\sim pareto(k,a)$ with density $\frac{...
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Confusion about Pareto Principle and Pareto distribution

The Pareto principle, applied to wealth for example, says that around 20% of the population holds 80% of the wealth. Accordingly, it is said that a person's wealth follows a Pareto distribution. I'm ...
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331 views

Estimator for Pareto Distribution & Delta Method

Assume that $Y$ has a Pareto distribution with parameters ($\theta, t$ = 1). An estimator of $\theta$ is $\tilde{\theta}$ where $\bar{Y} = \frac{\tilde{\theta}t}{\tilde{\theta} - 1}$. Solve for $\...
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How to write the set of indexes of Pareto optimal reward set in formal methods

I denote that a reward vector of an item $a$ as $r_a$. Say there is a set of items denoted as $A_t$. I want to get a set $A^\prime_t$ of items from $A_t$ that has non-dominated reward vectors. For a ...
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169 views

Are the Feller-Pareto and the generalized beta distributions really the same?

The Feller-Pareto distribution was originally is defined in terms of a transformed beta distribution. If $Y\sim \beta(\gamma_1, \gamma_2)$ then $W=\mu + \sigma\left(\left(1/Y\right) - 1\right)^\gamma=...