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Are your data really Pareto distributed?

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  • Cirillo, Pasquale

Abstract

Pareto distributions, and power laws in general, have demonstrated to be very useful models to describe very different phenomena, from physics to finance. In recent years, the econophysical literature has proposed a large amount of papers and models justifying the presence of power laws in economic data.

Suggested Citation

  • Cirillo, Pasquale, 2013. "Are your data really Pareto distributed?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5947-5962.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:23:p:5947-5962
    DOI: 10.1016/j.physa.2013.07.061
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    References listed on IDEAS

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    1. Xavier Gabaix & Rustam Ibragimov, 2011. "Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 24-39, January.
    2. Cirillo, Pasquale & Hüsler, Jürg, 2009. "On the upper tail of Italian firms’ size distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1546-1554.
    3. Xavier Gabaix, 2009. "Power Laws in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 255-294, May.
    4. Duangkamon Chotikapanich (ed.), 2008. "Modeling Income Distributions and Lorenz Curves," Economic Studies in Inequality, Social Exclusion, and Well-Being, Springer, number 978-0-387-72796-7, July.
    5. José María Sarabia, 2008. "Parametric Lorenz Curves: Models and Applications," Economic Studies in Inequality, Social Exclusion, and Well-Being, in: Duangkamon Chotikapanich (ed.), Modeling Income Distributions and Lorenz Curves, chapter 9, pages 167-190, Springer.
    6. Ghosh, Souvik & Resnick, Sidney, 2010. "A discussion on mean excess plots," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1492-1517, August.
    7. Gabaix, Xavier & Ibragimov, Rustam, 2011. "Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 24-39.
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