The Variance Estimation for Pareto Distribution: A Simulation Study
Abstract
This research proposes the variance estimation method of Pareto data and to compare
three variance estimation methods. Those methods are simple method, the adjusted variance
method with term (n - 1)/n, and the adjusted variance method with term (n - 2)/n. The research
was considered by the absolute of bias (|Bias|), the mean absolute errors (MAE) and the mean
square errors (MSE) of variance estimator. This research used Monte Carlo Simulation method.
Results of this research show that the |Bias| of simple method is the lowest for almost all
conditions. We can arrange the methods as follows: the adjusted variance method with term
(n - 1)/n and the adjusted variance method with term (n - 2)/n, respectively. For all situations,
the MAE and MSE the of adjusted variance method with term (n - 2)/n is the lowest. We can
arrange the methods as follows: the adjusted variance method with term (n - 1)/n and simple
method, respectively.
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- Research Report [131]