A Composite Half-Normal-Pareto Distribution with Applications to Income and Expenditure Data

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datacite.alternateIdentifier.citationMATHEMATICS,Vol.12,2024
datacite.alternateIdentifier.doi10.3390/math12111631
datacite.creatorOlmos, Neveka M.
datacite.creatorGomez Deniz, Emilio
datacite.creatorVenegas, Osvaldo
datacite.creatorGomez, Hector W.
datacite.date2024
datacite.subject.englishhalf-normal distribution
datacite.subject.englishheavy-tailed distribution
datacite.subject.englishmaximum likelihood
datacite.subject.englishVaR
datacite.titleA Composite Half-Normal-Pareto Distribution with Applications to Income and Expenditure Data
dc.date.accessioned2024-09-10T18:47:12Z
dc.date.available2024-09-10T18:47:12Z
dc.description.abstractThe half-normal distribution is composited with the Pareto model to obtain a uni-parametric distribution with a heavy right tail, called the composite half-normal-Pareto distribution. This new distribution is useful for modeling positive data with atypical observations. We study the properties and the behavior of the right tail of this new distribution. We estimate the parameter using a method based on percentiles and the maximum likelihood method and assess the performance of the maximum likelihood estimator using Monte Carlo. We report three applications, one with simulated data and the others with income and expenditure data, in which the new distribution presents better performance than the Pareto distribution.
dc.identifier.urihttps://repositoriodigital.uct.cl/handle/10925/5990
dc.language.isoen
dc.publisherMDPI
dc.sourceMATHEMATICS
oaire.resourceTypeArticle
uct.indizacionSCI
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