[Math] How to calculate the Pareto distribution with m=0

bayesiandensity functionprobabilityprobability distributionsrandom variables

I am trying to calculate the Pareto distribution where the random variable has this range: $0 \le x \le \infty$

The book I found the Pareto distribution in has defined it like so:

$Pareto(x|m,k) = k \times m^{k} \times x^{-(k+1)} \times I(x \ge m)$

where $I(true) = 1$ and $I(false) = 0$

The book also has a few example graphs:

Pareto_graphs

My question is this: it appears that the $m$ is the lower limit of the range of the random variable, and I would like to set mine to zero (like the red dotted line in the plots above). The only problem is that when $m$ in the formula for Pareto is set to zero, the whole thing ends up being zero … so how did they obtain the red dotted line plot (which is clearly not zero everywhere)?

Thanks in advance

Best Answer

You can't set the lower limit to zero. The reason is that the integral $\int_0^a x^{-(k+1)}dx $ diverges at the lower endpoint (for $k\ge 0$). This means the distribution can't be defined with support going all the way down to zero.

That said, there are other ways to regulate the divergence than just taking a hard cutoff value. For instance you could include a convergence factor $e^{-m/x}$ in the density and then take the support $0<x<\infty$. That would be a distribution that is similar to the Pareto (for $x\gg m$) but has support on all the positive reals. However note that the density drops sharply for $x<m$. You aren't really eliminating the cutoff, just smoothing it out a bit.