Fisher information matrix for the Feller–Pareto distribution

Abstract

In this paper, the exact form of Fisher information matrix for the Feller–Pareto (FP) distribution is determined. The FP family is a very general unimodal distribution which includes a variety of distributions as special cases. For example: • A hierarchy of Pareto models: Pareto (I), Pareto (II), Pareto (III), and Pareto (IV) (see Arnold (Pareto Distributions, International Cooperative Publishing House, Fairland, MD, 1983)); and • Transformed beta family which in turn includes such general families as Burr, Generalized Pareto, and Inverse Burr (see Klugman et al. (Loss Models: From Data to Decisions, Wiley, New York, 1998)). Application of these distributions covers a wide spectrum of areas ranging from actuarial science, economics, finance to biosciences, telecommunications, and extreme value theory.