Estimation of the Weibull tail-coefficient with linear combination of upper order statistics

Details Estimation of the Weibull tail-coefficient with linear combination of upper order statistics Estimation of the Weibull tail-coefficient with linear combination of upper order statistics

2011-03-30

arxiv.org/abs/1103.5894v1

Journal of Statistical Planning and Inference, 138, 1416--1427, 2008

Mathematics

Statistics Theory

Scientific paper

We present a new family of estimators of the Weibull tail-coefficient. The Weibull tail-coefficient is defined as the regular variation coefficient of the inverse failure rate function. Our estimators are based on a linear combination of log-spacings of the upper order statistics. Their asymptotic normality is established and illustrated for two particular cases of estimators in this family. Their finite sample performances are presented on a simulation study.

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