Table 3.
Bias and standard deviation (shown in brackets) in estimating α for the 4 estimation methods in 9 different scenarios. The true values of α and σ in each scenario are shown in the first 2 columns, and μ = 100 for all scenarios. All values are given to 2 significant figures
| σ | α | MLE | Saddle | RMA-75 | RMA |
| 5 | 102 | – 0.00013 (0.75) | 0.25 (0.75) | – 1.1 (1.5) | – 80 (0.31) |
| 20 | 102 | – 0.013 (0.82) | – 0.023 (0.84) | – 2.5 (1.9) | – 79 (0.40) |
| 100 | 102 | – 0.046 (1.6) | – 11.0 (1.5) | 27.0 (8.1) | – 69 (4.4) |
| 5 | 103 | 0.021 (6.8) | 0.37 (6.8) | – 2.8 (10) | – 800 (2.9) |
| 20 | 103 | 0.11 (6.8) | 1.4 (6.8) | – 4.6 (12) | – 800 (2.9) |
| 100 | 103 | – 0.16 (7.5) | 3.2 (7.5) | – 15.0 (16) | – 790 (3.2) |
| 5 | 104 | 0.50 (72) | 1.0 (72) | – 28.0 (100) | – 8000 (28) |
| 20 | 104 | – 3.2 (69) | – 1.6 (69) | – 29.0 (100) | – 8000 (28) |
| 100 | 104 | 3.1 (71) | 9.5 (71) | – 23.0 (110) | – 8000 (30) |