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Rapport Année : 2005

Estimation of the Weibull tail-coefficient with linear combination of upper order statistics

Stéphane Girard

Résumé

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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Dates et versions

inria-00070435 , version 1 (28-09-2005)
inria-00070435 , version 2 (19-05-2006)

Identifiants

  • HAL Id : inria-00070435 , version 2

Citer

Laurent Gardes, Stéphane Girard. Estimation of the Weibull tail-coefficient with linear combination of upper order statistics. [Research Report] RR-5571, INRIA. 2005, pp.27. ⟨inria-00070435v2⟩
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