DocumentCode :
2975408
Title :
Estimating parameters of Pareto distribution under interval and fuzzy uncertainty
Author :
Buntao, Nitaya
Author_Institution :
Dept. of Appl. Stat., King Mongkut´´s Univ. of Technol. North Bangkok, Bangkok, Thailand
fYear :
2011
fDate :
18-20 March 2011
Firstpage :
1
Lastpage :
4
Abstract :
In many application areas, we encounter heavy-tail distributions - for example, such distributions are ubiquitous in financial applications. These distributions are often described by Pareto law. There exist techniques for estimating the parameters of such corresponding Pareto distributions based on the sample x1, ..., xn. In practice, we often only know the values xi with interval (or, more generally, fuzzy) uncertainty. In this paper, we show how to estimate the parameters of the Pareto distribution under such uncertainty.
Keywords :
Pareto distribution; fuzzy set theory; parameter estimation; stock markets; uncertainty handling; Pareto distribution; Pareto law; fuzzy uncertainty; heavy-tail distributions; interval uncertainty; parameter estimation; Data processing; Finance; Fuzzy logic; Gaussian distribution; Maximum likelihood estimation; Presses; Uncertainty;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Fuzzy Information Processing Society (NAFIPS), 2011 Annual Meeting of the North American
Conference_Location :
El Paso, TX
ISSN :
Pending
Print_ISBN :
978-1-61284-968-3
Electronic_ISBN :
Pending
Type :
conf
DOI :
10.1109/NAFIPS.2011.5752041
Filename :
5752041
Link To Document :
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