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Article Dans Une Revue Journal of Statistical Planning and Inference Année : 2008

Bias-reduced extreme quantiles estimators of Weibull distributions

Résumé

In this paper, we consider the problem of estimating an extreme quantile of a Weibull tail-distribution. The new extreme quantile estimator has a reduced bias compared to the more classical ones proposed in the literature. It is based on an exponential regression model that was introduced in Diebolt et al. (2008). Its asymptotic normality is established and a small simulation study is provided in order to illustrate its efficiency.
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Dates et versions

hal-00015778 , version 1 (13-12-2005)
hal-00015778 , version 2 (07-05-2013)

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Citer

Jean Diebolt, Laurent Gardes, Stéphane Girard, Armelle Guillou. Bias-reduced extreme quantiles estimators of Weibull distributions. Journal of Statistical Planning and Inference, 2008, 138 (5), pp.1389-1401. ⟨10.1016/j.jspi.2007.04.025⟩. ⟨hal-00015778v2⟩
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