Comparison of Weibull Tail-Coefficient Estimators

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 asy...

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Bibliographic Details
Published in:Revstat Statistical Journal
Main Authors: Laurent Gardes, Stéphane Girard
Format: Article
Language:English
Published: Instituto Nacional de Estatística | Statistics Portugal 2006-06-01
Subjects:
Weibull tail-coefficient
extreme quantile
extreme value theory
asymptotic normality
Online Access:https://revstat.ine.pt/index.php/REVSTAT/article/view/34
Description
Summary: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.
ISSN:1645-6726
2183-0371

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