Estimating the parameters of a lognormal distribution using grouped censored data

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Abstract

In this report a simple method is described to estimate the parameters of a lognormal distribution, when the only data available is grouped data about the right tail of the distribution. After the description and the derivation of the proposed method, a series of simulation experiments is performed, that suggest the accuracy of the proposed method. There appear to be three variants of the method, that all have the same good qualities. These methods may be used to estimate the total wealth of a population of households, when there is only wealth data available of households that surpass a lowest tax border. As an example this method is applied to wealth data from the Netherlands in the year 2019.
Original languageEnglish
Publication statusPublished - 17 Feb 2022

Publication series

SeriesEconometric Institute Report
NumberEI 2022-01

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