Fitting power-laws in empirical data with estimators that work for all exponents

PLoS One. 2017 Feb 28;12(2):e0170920. doi: 10.1371/journal.pone.0170920. eCollection 2017.

Abstract

Most standard methods based on maximum likelihood (ML) estimates of power-law exponents can only be reliably used to identify exponents smaller than minus one. The argument that power laws are otherwise not normalizable, depends on the underlying sample space the data is drawn from, and is true only for sample spaces that are unbounded from above. Power-laws obtained from bounded sample spaces (as is the case for practically all data related problems) are always free of such limitations and maximum likelihood estimates can be obtained for arbitrary powers without restrictions. Here we first derive the appropriate ML estimator for arbitrary exponents of power-law distributions on bounded discrete sample spaces. We then show that an almost identical estimator also works perfectly for continuous data. We implemented this ML estimator and discuss its performance with previous attempts. We present a general recipe of how to use these estimators and present the associated computer codes.

MeSH terms

  • Algorithms
  • Bayes Theorem
  • Computer Simulation*
  • Data Interpretation, Statistical
  • Decision Making
  • Likelihood Functions*
  • Models, Theoretical*
  • Probability

Grants and funding

This work was supported in part by the Austrian Science Foundation “Fonds zur Förderung der wissenschaftlichen Forschung” (FWF: https://www.fwf.ac.at/) under grant P29252. BL is grateful for the support by the China Scholarship Council, file-number 201306230096. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.