The standard Pareto distribution is a Pareto distribution with shape parameter 1 and scale parameter 1.
Probability Density Function
Support
Mean
Variance
Example |
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Suppose U has a standard uniform distribution. Then 1/U has a standard Pareto distribution. |
Suppose a probability p has a standard uniform distribution. Then 1 + odds(p) has a standard Pareto distribution. |
Suppose Y has a standard logistic distribution. Then 1 + eY has a standard Pareto distribution. |
X ∼ Standard Pareto
E(X) = , Var(X) =
Note that the standard Pareto distribution is heavy-tailed, and that the mean and variance are undefined.
Note that the standard Pareto distribution is heavy-tailed, and that the mean and variance are undefined.
The graph above displays the survival function S(x) = P(X > x) = 1 - F(X), where F(x) is the cumulative distribution function (cdf).
Survival functions are used in survival analysis, a branch of statistics concerned with the expected duration until an event occurs such as death or the failure of a mechanical system.
The graph above displays the hazard function h(x). This equals f(x)/S(x), where f(x) is the pdf and S(x) = P(X > x) is the survival function.
The illustration above shows a point U chosen at random from a standard uniform distribution. The random variable X = 1/U has a standard Pareto distribution.
The simulation above shows a point U chosen at random from a standard uniform distribution on the y-axis. The light blue circle shows the value of the random variable X = 1/U on the x-axis, which has a standard Pareto distribution. The histogram accumulates the results of each simulation.