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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
Date of revision:
Contact details of provider:
Postal: 221 Burwood Highway, Burwood 3125
Phone: 61 3 9244 3815
Web page: http://www.deakin.edu.au/buslaw/aef/index.php
Weibull distribution; Order statistics; L-moment estimation; Maximum likelihood estimation; Methods of moments; Maximum Product of Spacing;
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stelios H. Zanakis, 1979. "Extended Pattern Search with Transformations for the Three-Parameter Weibull MLE Problem," Management Science, INFORMS, vol. 25(11), pages 1149-1161, November.
- James Hammitt & Jin-Tan Liu, 2004.
"Effects of Disease Type and Latency on the Value of Mortality Risk,"
Journal of Risk and Uncertainty,
Springer, vol. 28(1), pages 73-95, January.
- Jin-Tan Liu & James K. Hammitt, 2003. "Effects of Disease Type and Latency on the Value of Mortality Risk," NBER Working Papers 10012, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Susan S Sharma).
If references are entirely missing, you can add them using this form.