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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2011
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/1104.0764 |
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| _version_ | 1866912009115664384 |
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| author | Gardes, Laurent Girard, Stéphane |
| author_facet | Gardes, Laurent Girard, Stéphane |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1104_0764 |
| institution | arXiv |
| publishDate | 2011 |
| record_format | arxiv |
| spellingShingle | Comparison of Weibull tail-coefficient estimators Gardes, Laurent Girard, Stéphane Methodology 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. |
| title | Comparison of Weibull tail-coefficient estimators |
| topic | Methodology |
| url | https://arxiv.org/abs/1104.0764 |