A common practice to determine the extension and heaviness of heavy tails of income, return and size distributions is the sequential estimation and fitting of one or several models, starting from a bunch of the largest observations and adding one observation at a time. This kind of procedure shows high sensitivity of the shape parameter estimates to single observations at early stages, the end of the search being fixed when the shape parameter value estimates reach a plateau. In this paper we propose a stepwise fitting of a heavy-tailed model, the Pareto II distribution, applied to the size distribution of business firms. The procedure, based on the forward search technique, is data-driven since observations to be added at each iteration are determined according to the results of the estimation carried on at the preceding step and not, as in sequential fitting, according to their rank.

Corbellini, A., Crosato, L., Ganugi, P. (2008). Robust Tests for Pareto Density Estimation. In First Joint Meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of the Italian Statistical Society (Book of Short Papers) (pp.241-244). Napoli : Edizioni Scientifiche Italiane.

Robust Tests for Pareto Density Estimation

CROSATO, LISA;
2008

Abstract

A common practice to determine the extension and heaviness of heavy tails of income, return and size distributions is the sequential estimation and fitting of one or several models, starting from a bunch of the largest observations and adding one observation at a time. This kind of procedure shows high sensitivity of the shape parameter estimates to single observations at early stages, the end of the search being fixed when the shape parameter value estimates reach a plateau. In this paper we propose a stepwise fitting of a heavy-tailed model, the Pareto II distribution, applied to the size distribution of business firms. The procedure, based on the forward search technique, is data-driven since observations to be added at each iteration are determined according to the results of the estimation carried on at the preceding step and not, as in sequential fitting, according to their rank.
slide + paper
Pareto II distribution, forward search, firm size distribution
English
First Joint Meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of the Italian Statistical Society
2008
First Joint Meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of the Italian Statistical Society (Book of Short Papers)
978-88-495-1656-2
2008
241
244
none
Corbellini, A., Crosato, L., Ganugi, P. (2008). Robust Tests for Pareto Density Estimation. In First Joint Meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of the Italian Statistical Society (Book of Short Papers) (pp.241-244). Napoli : Edizioni Scientifiche Italiane.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/3035
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