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Comparison of estimators of the Weibull Distribution

  • Muhammad Akram


    (Monash University)

  • Aziz Hayat


    (Deakin University)

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    We 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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    Paper 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.

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    Length: 31
    Date of creation: 26 Mar 2012
    Date of revision:
    Handle: RePEc:dkn:ecomet:fe_2012_04
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    1. 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.
    2. Bartolucci, Alfred A. & Singh, Karan P. & Bartolucci, Anne D. & Bae, Sejong, 1999. "Applying medical survival data to estimate the three-parameter Weibull distribution by the method of probability-weighted moments," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 385-392.
    3. 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.
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