Generalizing The Pareto To The Log-pareto Model And Statistical Inference

摘要

In this article we introduce a full-fledged statistical model of log-Pareto distribution functions (dfs) parametrized by two shape parameters and a scale parameter. Pareto dfs can be regained in the limit by varying parameters of log-Pareto dfs, whence the log-Pareto model can be regarded as an extension of the Pareto model. Log-Pareto dfs are first of all obtained by means of exponential transformations of Pareto dfs. We also indicate an iterated application of such a procedure. A class of generalized log-Pareto dfs is considered as well. In addition, power-pot (p-pot) stable dfs - related to p-max stable dfs - are introduced and log-Pareto dfs are identified as special cases. A modification of a quick (systematic) estimator is proposed as an initial estimator for the numerical computation of the maximum likelihood estimator (MLE) in the 3-parameter model.