Conditional Maximum-Likelihood Estimation, from Singly Censored Samples, of the Shape Parameters of Pareto and Limited Distributions

摘要

Use of the functional relationship between the exponential and the Pareto and limited distributions enables one to obtain conditional maximum-likelihood (ML) estimators, from singly censored samples, of the shape parameters of the Pareto distribution F1(y,????????,K) = 1 - (y - ????????)????????K and the limited distribution F2(x,????????,K) = 1 - (???????? - x)K by a simple transformation of the corresponding estimator of the scale parameter of the exponential distribution ????????????????mn, based on the first m order statistics of a sample of size n. Use is made of the fact that K????????mn|???????? = 1/????????????????mn and K????????mn|???????? = 1/????????????????mn, where 2m????????mn/???????? has the x2 distribution with 2m degrees of freedom, to set confidence bounds on the shape parameter K of the Pareto and limited distributions. The probability densities of K????????mn|???????? and K????????mn|????????, which for a given m are the same for any n ???????? m, are obtained by a simple transformation of that of ????????????????mn. The expected values of K????????mn|???????? and K????????mn|???????? are determined and from them the unbiasing factors by which the ML estimators must be multiplied to obtain unbiased estimators K????????mn|???????? and K????????mn|????????. Expressions for the variances of the estimators and for the Cramer-Rao lower bound are found. A section on numerical examples is included.