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

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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https://hal.inria.fr/inria-00070435
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Submitted on : Friday, May 19, 2006 - 8:28:51 PM
Last modification on : Monday, July 20, 2020 - 9:19:00 AM
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  • HAL Id : inria-00070435, version 1

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

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