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A maximum likelihood estimation for the Weibull tail coefficient based on record values

Mohamed El Arrouchi, Abdelouhid Imlahi

Abstract


We propose a maximum likelihood estimation for the Weibull tail-coefficient which is the regular variation exponent of the inverse cumulative hazard function. Our estimation is based on the successive quotient of the records values in an independent and identically distributed sequence of random variables. The asymptotic behavior is investigated. The results are illustrated on some finite sample situations.

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