Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Tail analysis of a distribution by means of an inequality curve
Emanuele Taufer, Flavio Santi, Giuseppe Espa, Maria Michela Dickson

Last modified: 2018-05-17


The Zenga (1984) inequality curve λ(p) is constant in p for Type I Pareto distributions. We show that this property holds exactly only for the Pareto distribution and, asymptotically, for distributions with power tail with index –α, with  α >1. Exploiting these properties one can develop powerful tools to analyze and estimate the tail of a distribution. An estimator for α is discussed. Inference is based on an estimator of λ(p) which utilizes all sample information for all values of p. The properties of the proposed estimation strategy is analyzed theoretically and by means of simulations.


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