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Statistical Methods & Applications

, Volume 22, Issue 3, pp 285–303 | Cite as

On the parameters of Zenga distribution

  • Alberto Arcagni
  • Francesco Porro
Article

Abstract

In 2010 Zenga introduced a new three-parameter model for distributions by size that can be used to represent income, wealth, financial and actuarial variables. This paper proposes a summary of its main properties, followed by a focus on the interpretation of the parameters in terms of inequality. The scale parameter μ is equal to the expectation, and it does not affect the inequality, while the two shape parameters α and θ are inverse and direct inequality indicators respectively. This result is obtained through stochastic orders based on inequality curves. A procedure to generate a random sample from Zenga distribution is also proposed. The second part of this article looks at the parameter estimation. Analytical solution of method of moments is obtained. This result is used as a starting point of numerical procedures to obtain maximum likelihood estimates both on ungrouped and grouped data. In the application, three empirical income distributions are considered and the aforementioned estimates are evaluated. A comparison with other well-known models is provided, by the evaluation of three goodness-of-fit indexes.

Keywords

Mixture Inequality Inequality I(p) curve Income distribution 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Department of Statistics and Quantitative Methods, Università degli Studi di Milano–BicoccaMilanoItaly

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