Bias-reduced estimators of the Weibull tail-coefficient
Diebolt, J. · Gardes, L. · Girard, S. · Guillou, A.
Original · EN
In this paper, we consider the problem of the estimation of a Weibull tail-coefficient. In particular, we propose a regression model, from which we derive a bias-reduced estimator. This estimator is based on a least-squares approach. The asymptotic normality of this estimator is also established. A small simulation study is provided in order to prove its efficiency.
English translation
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