Computation of extreme-value parameters and inference by approximation covariance technique.

Ordinary least squares (OLS) and Linear (LIN) estimators are commonly used in estimating the parameters of location-scale family of distributions. Various works have been done to compare the efficiency between these two estimators for the two-parameter exponential distribution and the two-parameter...

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Main Authors: Karmokar, Provash Kumar, Shitan, Mahendran
格式: Article
語言:English
English
出版: 2012
在線閱讀:http://psasir.upm.edu.my/id/eprint/24263/1/Computation%20of%20extreme.pdf
http://psasir.upm.edu.my/id/eprint/24263/
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總結:Ordinary least squares (OLS) and Linear (LIN) estimators are commonly used in estimating the parameters of location-scale family of distributions. Various works have been done to compare the efficiency between these two estimators for the two-parameter exponential distribution and the two-parameter Weibull distribution. Motivated by these works, it would be of interest to evaluate the performance of the LIN method for the extreme-value distribution. We found that the performance of LIN estimator is better than that of OLS estimator in the sense that it had smaller standard errors and better efficiency.