Bias-reduced estimators of the Weibull tail-coefficient

J. Diebolt; L. Gardes; S. Girard; A. Guillou

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arXiv · 1103.6172

Bias-reduced estimators of the Weibull tail-coefficient

J. Diebolt·L. Gardes·S. Girard·A. Guillou

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Abstract

In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator. This estimator is based on a least-squares approach. The asymptotic normality of this estimator is also established. A small simulation study is provided in order to prove its efficiency.

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J. Diebolt, L. Gardes, S. Girard, A. Guillou. 2011-03-31. Bias-reduced estimators of the Weibull tail-coefficient. https://arxiv.org/abs/1103.6172

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