Estimation of the Weibull tail-coefficient with linear combination of upper order statistics |
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Authors: | Laurent Gardes Stéphane Girard |
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Institution: | INRIA Rhône-Alpes, projet Mistis, Inovallée, 655, av. de l’Europe, 38334 Montbonnot, Saint-Ismier cedex, France |
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Abstract: | 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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Keywords: | Weibull tail-coefficient Extreme-values Order statistics Regular variations |
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