I am trying to fit a Pareto distribution and have a question. Sometimes, the MLE estimated by SAS are negative, which could generate undesirable result since the Pareto requires that the alpha>0. I read the CAS monograph number 2 and it says that an arbitrary alpha=6 is used. I was wondering what value of alpha do you typically use or how do you estimate alpha in fitting Pareto distribution. Thanks.
alpha estimation for pareto distribution