Comparison of estimators of the Weibull Distribution
AbstractWe compare the small sample performance (in terms of bias and root mean squared error) of L-moment estimator of 3-parameter Weibull distribution with Maximum likelihood Estimation (MLE), Moment Estimation (MoE), Least squared estimation (LSE), the Modified MLE (MMLE), Modified MoE (MMoE), and the Maximum Product of Spacing (MPS). Overall, the LM method has the tendency to perform well as it is almost always close to the best method of estimation. The ML performance is remarkable even in small sample of size n = 10 when the shape parameter β lies in [1.5, 4] range.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2012_04.
Date of creation: 26 Mar 2012
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Weibull distribution; Order statistics; L-moment estimation; Maximum likelihood estimation; Methods of moments; Maximum Product of Spacing;
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