Comparison of Weibull tail-coefficient estimators
Methodology
2024-09-04 v1
Abstract
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.
Cite
@article{arxiv.1104.0764,
title = {Comparison of Weibull tail-coefficient estimators},
author = {Laurent Gardes and Stéphane Girard},
journal= {arXiv preprint arXiv:1104.0764},
year = {2024}
}