Abstract
In this paper, we investigate the performance of a variety of frequentist estimation techniques for the scale and shape parameters of the Lomax distribution. These methods include traditional methods such as the maximum likelihood estimator and the method of moments estimator. A version of the maximum likelihood estimator adjusted for bias is included as well. Furthermore, an alternative moment-based estimation technique, the L-moment estimator, is included, along with three different minimum distance estimators. The finite sample performances of each of these estimators are compared in an extensive Monte Carlo study. We find that no single estimator outperforms its competitors uniformly. We recommend one of the minimum distance estimators for use with smaller samples, while a bias-reduced version of maximum likelihood estimation is recommended for use with larger samples. In addition, the desirable asymptotic properties of traditional maximum likelihood estimators make them appealing for larger samples. We include a practical application demonstrating the use of the described techniques on observed data.
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