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A composite Exponential-Pareto distribution. (English) Zbl 1164.60318

The authors present a model in which the facility of handling the exponential distribution is joined with the possibility of describing heavy tails of the Pareto distribution. To this end, they introduce a probability density that is exponential on the interval \((0,\theta)\) and Pareto on \((\theta,+\infty)\). The requirement that the new density be continuous and differentiable at \(\theta\) reduces the parameters of the two \`\` parent\'\'densities from three to one. Two different ways of estimating the remaining parameter \((\theta)\) and numerical examples are then presented.

MSC:

60E05 Probability distributions: general theory
62F10 Point estimation
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