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Estimation of the Weibull tail-coefficient with linear combination of upper order statistics (1103.5894v1)
Published 30 Mar 2011 in math.ST and stat.TH
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.