Comparison of Weibull tail-coefficient estimators

Details Comparison of Weibull tail-coefficient estimators Comparison of Weibull tail-coefficient estimators

2011-04-05

arxiv.org/abs/1104.0764v1

L. Gardes & S. Girard. "Comparison of Weibull tail-coefficient estimators", REVSTAT - Statistical Journal, 4(2), 163-188, 2006

Statistics

Methodology

Scientific paper

We address the problem of estimating the Weibull tail-coefficient which is the regular variation exponent of the inverse failure rate function. We propose a family of estimators of this coefficient and an associate extreme quantile estimator. Their asymptotic normality are established and their asymptotic mean-square errors are compared. The results are illustrated on some finite sample situations.

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