Bias-reduced estimators of the Weibull tail-coefficient

Details Bias-reduced estimators of the Weibull tail-coefficient Bias-reduced estimators of the Weibull tail-coefficient

2011-03-31

arxiv.org/abs/1103.6172v1

Test, 17, 311-331, 2008

Mathematics

Statistics Theory

Scientific paper

In this paper, we consider the problem of the estimation of a Weibull
tail-coefficient. In particular, we propose a regression model, from which we
derive a bias-reduced estimator. This estimator is based on a least-squares
approach. The asymptotic normality of this estimator is also established. A
small simulation study is provided in order to prove its efficiency.

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