scholarly journals Sufficient statistics for the Pareto distribution parameter

2021 ◽  
Vol 9 (3) ◽  
pp. 88-97
Author(s):  
I. S. Pulkin ◽  
A. V. Tatarintsev
Keyword(s):  
Distribution Function ◽  
Mathematical Expectation ◽  
Pareto Distribution ◽  
Geometric Mean ◽  
Random Variable ◽  
Distribution Parameter ◽  
Higher Moments ◽  
Differential Entropy ◽  
Sufficient Statistics ◽  
Sufficient Statistic

The task of estimating the parameters of the Pareto distribution, first of all, of an indicator of this distribution for a given sample, is relevant. This article establishes that for this estimate, it is sufficient to know the product of the sample elements. It is proved that this product is a sufficient statistic for the Pareto distribution parameter. On the basis of the maximum likelihood method the distribution degree indicator is estimated. It is proved that this estimate is biased, and a formula eliminating the bias is justified. For the product of the sample elements considered as a random variable the distribution function and probability density are found; mathematical expectation, higher moments, and differential entropy are calculated. The corresponding graphs are built. In addition, it is noted that any function of this product is a sufficient statistic, in particular, the geometric mean. For the geometric mean also considered as a random variable, the distribution function, probability density, and the mathematical expectation are found; the higher moments, and the differential entropy are also calculated, and the corresponding graphs are plotted. In addition, it is proved that the geometric mean of the sample is a more convenient sufficient statistic from a practical point of view than the product of the sample elements. Also, on the basis of the Rao–Blackwell–Kolmogorov theorem, effective estimates of the Pareto distribution parameter are constructed. In conclusion, as an example, the technique developed here is applied to the exponential distribution. In this case, both the sum and the arithmetic mean of the sample can be used as sufficient statistics.

scholarly journals Analytical Relations for the Mathematical Expectation and Variance of a Standard Distributed Random Variable Subjected to the √X Transformation

2018 ◽  
Vol 63 (3) ◽  
pp. 215 ◽  
Author(s):  
P. Kosobutsky
Keyword(s):  
Distribution Function ◽  
Mathematical Expectation ◽  
Random Variable ◽  
Standard Distribution ◽  
Physical Variables ◽  
Analytical Relations

The mathematical expectation and the variance have been calculated for random physical variables with the standard distribution function that are transformed by functionally related direct quadratic, X2, and inverse quadratic, √X, dependences.

Distribution of Consensus in a Broadcasting-based Consensus-forming Algorithm

2021 ◽  
Vol 48 (3) ◽  
pp. 91-96
Author(s):  
Shigeo Shioda
Keyword(s):  
Distribution Function ◽  
Probability Density Function ◽  
Closed Form ◽  
Probability Density ◽  
Infinite Number ◽  
Stable Distribution ◽  
Random Variable ◽  
Cauchy Distribution ◽  
Closed Form Expression ◽  
Form Expression

The consensus achieved in the consensus-forming algorithm is not generally a constant but rather a random variable, even if the initial opinions are the same. In the present paper, we investigate the statistical properties of the consensus in a broadcasting-based consensus-forming algorithm. We focus on two extreme cases: consensus forming by two agents and consensus forming by an infinite number of agents. In the two-agent case, we derive several properties of the distribution function of the consensus. In the infinite-numberof- agents case, we show that if the initial opinions follow a stable distribution, then the consensus also follows a stable distribution. In addition, we derive a closed-form expression of the probability density function of the consensus when the initial opinions follow a Gaussian distribution, a Cauchy distribution, or a L´evy distribution.

Curved Exponential Models in Econometrics

1997 ◽  
Vol 13 (6) ◽  
pp. 771-790 ◽  
Author(s):  
Kees Jan van Garderen
Keyword(s):  
Structural Equation ◽  
Equation Model ◽  
Econometric Models ◽  
Demand Systems ◽  
Likelihood Ratios ◽  
Sufficient Statistics ◽  
Sufficient Statistic ◽  
Exponential Models ◽  
Minimal Sufficient Statistic ◽  
The Difference

Curved exponential models have the property that the dimension of the minimal sufficient statistic is larger than the number of parameters in the model. Many econometric models share this feature. The first part of the paper shows that, in fact, econometric models with this property are necessarily curved exponential. A method for constructing an explicit set of minimal sufficient statistics, based on partial scores and likelihood ratios, is given. The difference in dimension between parameterand statistic and the curvature of these models have important consequences for inference. It is not the purpose of this paper to contribute significantly to the theory of curved exponential models, other than to show that the theory applies to many econometric models and to highlight some multivariate aspects. Using the methods developed in the first part, we show that demand systems, the single structural equation model, the seemingly unrelated regressions, and autoregressive models are all curved exponential models.

The central limit problem for trimmed sums

1987 ◽  
Vol 102 (2) ◽  
pp. 329-349 ◽  
Author(s):  
Philip S. Griffin ◽  
William E. Pruitt
Keyword(s):  
Distribution Function ◽  
Random Variables ◽  
Random Variable ◽  
Limit Problem ◽  
Absolute Value ◽  
Trimmed Sums ◽  
Common Distribution ◽  
Common Distribution Function ◽  
Central Limit Problem ◽  
Trimmed Sum

Let X, X1, X2,… be a sequence of non-degenerate i.i.d. random variables with common distribution function F. For 1 ≤ j ≤ n, let mn(j) be the number of Xi satisfying either |Xi| > |Xj|, 1 ≤ i ≤ n, or |Xi| = |Xj|, 1 ≤ i ≤ j, and let (r)Xn = Xj if mn(j) = r. Thus (r)Xn is the rth largest random variable in absolute value from amongst X1, …, Xn with ties being broken according to the order in which the random variables occur. Set (r)Sn = (r+1)Xn + … + (n)Xn and write Sn for (0)Sn. We will refer to (r)Sn as a trimmed sum.

scholarly journals Some Remarks on a Recent Paper by Borch

1961 ◽  
Vol 1 (5) ◽  
pp. 265-272 ◽  
Author(s):  
Paul Markham Kahn
Keyword(s):  
Distribution Function ◽  
Random Variable ◽  
Fixed Number ◽  
Point Of View ◽  
Optimum Amount ◽  
Measurable Transformation ◽  
The Difference ◽  
Image Position ◽  
Stop Loss ◽  
Condition B

In his recent paper, “An Attempt to Determine the Optimum Amount of Stop Loss Reinsurance”, presented to the XVIth International Congress of Actuaries, Dr. Karl Borch considers the problem of minimizing the variance of the total claims borne by the ceding insurer. Adopting this variance as a measure of risk, he considers as the most efficient reinsurance scheme that one which serves to minimize this variance. If x represents the amount of total claims with distribution function F (x), he considers a reinsurance scheme as a transformation of F (x). Attacking his problem from a different point of view, we restate and prove it for a set of transformations apparently wider than that which he allows.The process of reinsurance substitutes for the amount of total claims x a transformed value Tx as the liability of the ceding insurer, and hence a reinsurance scheme may be described by the associated transformation T of the random variable x representing the amount of total claims, rather than by a transformation of its distribution as discussed by Borch. Let us define an admissible transformation as a Lebesgue-measurable transformation T such thatwhere c is a fixed number between o and m = E (x). Condition (a) implies that the insurer will never bear an amount greater than the actual total claims. In condition (b), c represents the reinsurance premium, assumed fixed, and is equal to the expected value of the difference between the total amount of claims x and the total retained amount of claims Tx borne by the insurer.

3 Power and sample size for ABE in the 2× 2 design Here we give formulae for the calculation of the power of the TOST procedure assuming that there are in total n subjects in the 2× 2 trial. Suppose that the null hypotheses given below are to be tested using a 100(1 − α)% two-sided confidence interval and a power of (1 − β) is required to reject these hypotheses when they are false. H :µ ≤− ln 1.25 H :µ ≥ ln 1.25. Let us define x to be a random variable that has a noncentral t-distribution with df degrees of freedom and noncentrality parameter nc, i.e., x ∼ t(df,nc). The cumulative distribution function of x is defined as CDF(t,df,nc) = Pr(x≤ t). Assume that the power is to be calculated using log(AUC). If σ is the common within-subject variance for T and R for log(AUC), and n/2 subjects are allocated to each of the sequences RT and TR, then 1−β = CDF(t , df,nc )−CDF(t , df,nc ) (7.1) where √ n(log(µ )− log(0.8)) nc = 2σ √ n(log(µ )− log(1.25)) nc = 2σ √ (n− 2)(nc −nc = ) df 2t and t is the 100(1 − α)% point of the central t-distribution on n− 2 degrees of freedom. Some SAS code to calculate the power for an ABE 2 × 2 trial is given below, where the required input variables are α, σ value of the ratio µ and n, the total number of subjects in the trial.

2003 ◽  
pp. 361-361
Keyword(s):  
Distribution Function ◽  
Confidence Interval ◽  
Degrees Of Freedom ◽  
Random Variable ◽  
Noncentrality Parameter ◽  
Cumulative Distribution ◽  
Total N ◽  
The Common ◽  
Input Variables ◽  
T Distribution

scholarly journals On Distribution Characteristics of a Fuzzy Random Variable

2018 ◽  
Vol 47 (2) ◽  
pp. 53-67 ◽  
Author(s):  
Jalal Chachi
Keyword(s):  
Probability Theory ◽  
Distribution Function ◽  
Cumulative Distribution Function ◽  
Random Variables ◽  
Fuzzy Random Variable ◽  
Random Variable ◽  
Cumulative Distribution ◽  
Distribution Characteristics ◽  
Fuzzy Random Variables ◽  
Fuzzy Random

In this paper, rst a new notion of fuzzy random variables is introduced. Then, usingclassical techniques in Probability Theory, some aspects and results associated to a randomvariable (including expectation, variance, covariance, correlation coecient, etc.) will beextended to this new environment. Furthermore, within this framework, we can use thetools of general Probability Theory to dene fuzzy cumulative distribution function of afuzzy random variable.

scholarly journals ДОСЛІДЖЕННЯ ПОКАЗНИКА ЕФЕКТИВНОСТІ ЕКСПЛУАТАЦІЇ ЗАСОБІВ ВИМІРЮВАЛЬНОЇ ТЕХНІКИ МЕТОДОМ КОМПʼЮТЕРНОГО МОДЕЛЮВАННЯ

2020 ◽  
pp. 166-169
Author(s):  
Олександр Володимирович Томашевський ◽  
Геннадій Валентинович Сніжной
Keyword(s):  
Computer Simulation ◽  
Distribution Function ◽  
Normal Distribution ◽  
Failure Rate ◽  
Random Variable ◽  
Operational Efficiency ◽  
Distribution Law ◽  
Maintenance System ◽  
Wide Range ◽  
Calibration Interval

The operational efficiency of measuring equipment (ME) is important in determining the cost of maintaining ME. To characterize the operational efficiency of the ME, an efficiency indicator has been introduced, an increase of which will reduce costs caused by the release of defective products due to the use of ME with unreliable indications. Over time, the ME parameters change under the influence of external factors and the ME aging processes inevitably occur, as a result of which the parameters of the ME metrological service system change. Therefore, in the general case, the parameters of the metrological maintenance system of ME should be considered as random variables. Accordingly, the efficiency indicator of measuring instruments is also a random variable, for the determination of which it is advisable to apply the methods of mathematical statistics and computer simulation. The performance indicator depends on the parameters of the metrological maintenance ME system, such as the calibration interval, the time spent by the ME on metrological maintenance, and the likelihood of ME failure-free operation. As a random variable, the efficiency indicator has a certain distribution function. To determine the distribution function of the efficiency indicator and the corresponding statistical characteristics, a computer simulation method was used. A study was made of the influence on the indicator of the effectiveness of the parameters of the metrological maintenance system ME (interesting interval, the failure rate of ME). The value of the verification interval and the failure rate of MEs varied over a wide range typical of real production. The time spent by ME on metrological services is considered as a random variable with a normal distribution law. To obtain random numbers with a normal distribution law, the Box-Muller method is used. After modeling, the statistical processing of the obtained results was done. It is shown that in real production, the efficiency indicator has a normal distribution law and the value of the efficiency indicator with an increase in the calibration interval does not practically change.

scholarly journals A multiple threshold method for fitting the generalized Pareto distribution and a simple representation of the rainfall process

2010 ◽  
Vol 7 (4) ◽  
pp. 4957-4994 ◽  
Author(s):  
R. Deidda
Keyword(s):  
Time Series ◽  
Distribution Function ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Daily Rainfall ◽  
Rainfall Time Series ◽  
Threshold Method ◽  
Generalized Pareto ◽  
Multiple Threshold ◽  
Optimum Threshold

Abstract. Previous studies indicate the generalized Pareto distribution (GPD) as a suitable distribution function to reliably describe the exceedances of daily rainfall records above a proper optimum threshold, which should be selected as small as possible to retain the largest sample while assuring an acceptable fitting. Such an optimum threshold may differ from site to site, affecting consequently not only the GPD scale parameter, but also the probability of threshold exceedance. Thus a first objective of this paper is to derive some expressions to parameterize a simple threshold-invariant three-parameter distribution function which is able to describe zero and non zero values of rainfall time series by assuring a perfect overlapping with the GPD fitted on the exceedances of any threshold larger than the optimum one. Since the proposed distribution does not depend on the local thresholds adopted for fitting the GPD, it will only reflect the on-site climatic signature and thus appears particularly suitable for hydrological applications and regional analyses. A second objective is to develop and test the Multiple Threshold Method (MTM) to infer the parameters of interest on the exceedances of a wide range of thresholds using again the concept of parameters threshold-invariance. We show the ability of the MTM in fitting historical daily rainfall time series recorded with different resolutions. Finally, we prove the supremacy of the MTM fit against the standard single threshold fit, often adopted for partial duration series, by evaluating and comparing the performances on Monte Carlo samples drawn by GPDs with different shape and scale parameters and different discretizations.

scholarly journals Transformation of circular random variables based on circular distribution functions

Filomat ◽  
2018 ◽  
Vol 32 (17) ◽  
pp. 5931-5947
Author(s):  
Hatami Mojtaba ◽  
Alamatsaz Hossein
Keyword(s):  
Distribution Function ◽  
Random Variables ◽  
Real Data ◽  
Random Variable ◽  
Distribution Functions ◽  
Likelihood Method ◽  
Circular Distribution ◽  
Data Set ◽  
Trigonometric Moments ◽  
Von Mises

In this paper, we propose a new transformation of circular random variables based on circular distribution functions, which we shall call inverse distribution function (id f ) transformation. We show that M?bius transformation is a special case of our id f transformation. Very general results are provided for the properties of the proposed family of id f transformations, including their trigonometric moments, maximum entropy, random variate generation, finite mixture and modality properties. In particular, we shall focus our attention on a subfamily of the general family when id f transformation is based on the cardioid circular distribution function. Modality and shape properties are investigated for this subfamily. In addition, we obtain further statistical properties for the resulting distribution by applying the id f transformation to a random variable following a von Mises distribution. In fact, we shall introduce the Cardioid-von Mises (CvM) distribution and estimate its parameters by the maximum likelihood method. Finally, an application of CvM family and its inferential methods are illustrated using a real data set containing times of gun crimes in Pittsburgh, Pennsylvania.

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