Bias-reduced extreme quantiles estimators of Weibull distributions - Laboratoire d'Analyse et de Mathématiques Appliquées Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2005

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. (2005). Its asymptotic normality is established and a small simulation study is provided in order to illustrate its efficiency.
Fichier principal
Vignette du fichier
RR-1080.pdf (263.21 Ko) Télécharger le fichier

Dates et versions

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

Identifiants

  • HAL Id : hal-00015778 , version 1

Citer

Jean Diebolt, Laurent Gardes, Stéphane Girard, Armelle Guillou. Bias-reduced extreme quantiles estimators of Weibull distributions. 2005. ⟨hal-00015778v1⟩
439 Consultations
530 Téléchargements

Partager

Gmail Facebook X LinkedIn More