Solved – Truncated Pareto estimation

Given min and max values, how can I estimate shape parameter (tail index) of data generated by truncated pareto distribution ? I see a package tpareto but find no information on how to estimate tail index from given data.

Using VGAM truncated Pareto functions with fitdistrplus, the following should work:

lower <- min(data) upper <- max(data) fit   <- fitdist(data, 'truncpareto', start=list(lower=lower, upper=upper, shape=1)) 

This applies the Pareto bounds first to estimate the shape parameter before plugging it into the truncated Pareto MLE function. However, truncpareto has been giving me issues, so I cannot verify it yet.

Similar Posts:

Rate this post

Leave a Comment