andrewH
  • Member for 9 years, 6 months
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Fitting data in a generalized Pareto distribution and parameter estimation
3 votes

There are at least four distributions which sometimes go by the name "generalized Pareto" These include the Pareto Type II through IV distributions and the Stoppa distribution. See, e.g. C. Kleiber &...

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Why doesn't increasing N guarantee the sample mean will get closer to the population mean?
2 votes

The most common reason why a larger sample may not be better is that the sampling procedure is biased. In this case, bigger samples only enable you to get a more precise estimate of the bigger ...

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Dimensional analysis for a qdf/quantile function correspondng to the pdf/CDF (income distribution example)
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1 votes

Only paragraphs (6) through (9) below actually constitute an answer to my original questions (contained in the last three paragraphs above). Skip to them if you like. The rest just details the path I ...

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Efficient estimation of conditional means from pdf, CDF, & quantile function supplied numerically
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1 votes

I’m going to take a stab at answering this one myself. Suppose bb(X; Θ) is your black box function for the pdf with parameter vector Θ, and [lb, ub] are your lower and upper bounds. Then the integral ...

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Is the Stoppa distribution a special case of any better-known, more general distribution?
1 votes

Actually, this response is nearly perfect for my purposes, because, unlike the Stoppa, a right-Kappa and several related distribution has already been fully implemented in R, including L-moments, ...

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How do I establish shape and scale parameters?
1 votes

Actually, for a nice convex objective function such as the one that Wally provides, you could solve the optimization problem using the Excel "Solver" function. The default option is basically a ...

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OLS on autoregressive models
0 votes

I am going to take a shot at answering this, even though I don't really deserve the credit for it, because I found the answer, or at least, an answer under particular circumstances, so interesting. ...

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