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Article Dans Une Revue REVSTAT - Statistical Journal Année : 2006

Comparison of Weibull tail-coefficient estimators

Résumé

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
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Dates et versions

hal-00009006 , version 1 (22-09-2005)
hal-00009006 , version 2 (09-03-2006)

Identifiants

  • HAL Id : hal-00009006 , version 2

Citer

Laurent Gardes, Stéphane Girard. Comparison of Weibull tail-coefficient estimators. REVSTAT - Statistical Journal, 2006, 4 (2), pp.163-188. ⟨hal-00009006v2⟩
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