Relative Efficiency of a Quantile Method for Estimating Parameters in Censored Two-Parameter Weibull Distributions
Abstractn simulation studies the computer time can be much reduced by using censoring. Here a simple method based on quantiles (Q method) is compared with the Maximum Likelihood (ML) method when estimating the parameters in censored two-parameter Weibull distributions. The ML estimates being obtained using the SAS procedure NLMIXED. It is demonstrated that the estimators obtained by the Q method are less efficient than the ML estimators, but this can be compensated for by increasing the sample size whi... morech nevertheless requires much less computer time than the ML method. The ML estimates can only be obtained by an iterative process and this opens the possibility for failures in the sense that reasonable estimates are presented as unreliable, or anomalous estimates are presented as reliable. Such anomalies were never obtained with the Q method.
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Bibliographic InfoPaper provided by Statistical Research Unit, Department of Economics, School of Business, Economics and Law, University of Gothenburg in its series Research Reports with number 2010:3.
Length: 25 pages
Date of creation: 04 Feb 2011
Date of revision:
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Postal: Statistical Research Unit, University of Gothenburg, Box 640, SE 40530 GÖTEBORG
Web page: http://www.statistics.gu.se/
Relative Efficiency; Quantile Method; Censored Two-Parameter Weibull Distributions;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
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