Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: stats
See also: pdfPareto cdfPareto

Quantlet: estPareto
Description: computes estimators of parameters (alpha, lambda) of Pareto distribution.

Reference(s):

Usage: {db,delik,demin,vb,velik,vemin,w2b,w2elik,w2emin,a2b,a2elik,a2emin,alpha,lambda,alphalik,lambdalik,alphamin,lambdamin,caution}=estPareto(analyzedsample,method,numberofiterations)
Input:
analyzedsample n x 1 vector, sample for which Pareto distribution parameters will be estimated.
method integer, estimation method selection flag (0 - all methods, 1 - ML, 2 - A2).
numberofiterations integer, number of iterations for minimization procedures.
Output:
db scalar, Value of Kolmogorov statistic for MoM parameters.
delik scalar, Value of Kolmogorov statistic for ML parameters.
demin scalar, Value of Kolmogorov statistic for A2 parameters.
vb scalar, Value of Kuiper statistic for MoM parameters.
velik scalar, Value of Kuiper statistic for ML parameters.
vemin scalar, Value of Kuiper statistic for A2 parameters.
w2b scalar, Value of Cramer-von Mises statistic for MoM parameters.
w2elik scalar, Value of Cramer-von Mises statistic for ML parameters.
w2emin scalar, Value of Cramer-von Mises statistic for A2 parameters.
a2b scalar, Value of Anderson-Darling statistic for MoM parameters.
a2elik scalar, Value of Anderson-Darling statistic for ML parameters.
a2emin scalar, Value of Anderson-Darling statistic for A2 parameters.
alpha scalar, Parameter alpha from MoM estimation.
lambda scalar, Parameter lambda from MoM estimation.
alphalik Parameter alpha from ML estimation.
lambdalik scalar, Parameter lambda from ML estimation.
alphamin scalar, Parameter alpha from A2 estimation.
lambdamin scalar, Parameter lambda from A2 estimation.
caution scalar, 1 - if MoM estimators can not be computed, 0 - otherwise.

Example:
library("xplore")
library("stats")
library("distribs")
library("nummath")
randomize(101)
sample=rndPareto(1000,1,1.41,1.73)
estPareto(sample,0,3000)

Result:
Contents of _tmp.db
[1,]  0.12464
Contents of _tmp.delik
[1,]  0.013403
Contents of _tmp.demin
[1,]  0.014112
Contents of _tmp.vb
[1,]  0.13491
Contents of _tmp.velik
[1,]  0.024538
Contents of _tmp.vemin
[1,]  0.023863
Contents of _tmp.w2b
[1,]   6.1487
Contents of _tmp.w2elik
[1,]  0.020585
Contents of _tmp.w2emin
[1,]  0.018313
Contents of _tmp.a2b
[1,]   30.758
Contents of _tmp.a2elik
[1,]  0.19423
Contents of _tmp.a2emin
[1,]  0.18285
Contents of _tmp.alpha
[1,]   2.2249
Contents of _tmp.lambda
[1,]   4.4353
Contents of _tmp.alphalik
[1,]    1.445
Contents of _tmp.lambdalik
[1,]   1.7827
Contents of _tmp.alphamin
[1,]   1.4824
Contents of _tmp.lambdamin
[1,]   1.8473
Contents of _tmp.caution
[1,]        0



Author: A. Misiorek, 20041110 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006