On the hidden truncated bivariate Pareto (IV) model and associated inferential issues. Issue 7 (3rd May 2017)

• Record Type: Journal Article
• Authors: Ghosh, Indranil; Balakrishnan, N.
• Is Part Of: Journal of statistical computation and simulation. Volume 87:Issue 7(2017)
• Page Start: 1467
• Page End: 1487
• Publication Date: 2017-05-03
• Subjects: Bivariate Pareto (IV) distribution -- hidden truncation -- fractional method of moments -- quartile method of estimation -- reliability parameter; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5028505
• DOI: 10.1080/00949655.2016.1270282
• Languages: English
• ISSNs: 0094-9655

Abstract

ABSTRACT: Income and wealth data are typically modelled by some variant of the classical Pareto distribution. Often, in practice, the observed data are truncated with respect to some unobserved covariate. In this paper, a hidden truncation formulation of this scenario is proposed and analysed. For this purpose, a bivariate Pareto (IV) distribution is assumed for the variable of interest and the unobserved covariate. Some important distributional properties of the resulting model as well as associated inferential methods are studied. An example is used finally to illustrate the results developed here. In this case, it is noted that hidden truncation on the left does not result in any new model, but the hidden truncation on the right does. The properties and fit of such a model pose a challenging problem and that is what is focused here in this work.