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Improved Shape Parameter Estimation in a Discrete Weibull Model

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Recent Developments in Modeling and Applications in Statistics

Part of the book series: Studies in Theoretical and Applied Statistics ((STASSPSS))

Abstract

A new shape parameter estimator for a discrete Weibull model is proposed. This estimator is based on an extension of the Khan et al. (IEEE Trans. Reliab. 38:348–350, 1989) method of proportions. Simulations are carried out to illustrate the improvement achieved in terms of bias and mean square error. The proposed estimator is applied on a financial dataset dealing with durations between violations in a quantitative risk management environment.

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Acknowledgements

This research was partially supported by Fundação para a Ciência e Tecnologia (FCT/PROTEC, FCT/OE and PTDC/FEDER) and Center of Statistics and Applications of University of Lisbon (CEAUL).

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Authors and Affiliations

  1. Instituto Politécnico de Santarém, Departamento de Informática e Métodos Quantitativos, Escola Superior de Gestão e Tecnologia, Complexo Andaluz, Apartado 295, 2001-904, Santarém, Portugal

    P. Araújo Santos

  2. Faculdade de Ciências, Departamento de Estatística e Investigação Operacional, Universidade de Lisboa, Campo Grande, 1749-016, Lisboa, Portugal

    M. I. Fraga Alves

Authors
  1. P. Araújo Santos
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  2. M. I. Fraga Alves
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Corresponding author

Correspondence to P. Araújo Santos .

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Editors and Affiliations

  1. CMUC, Mathematics, University of Coimbra, EC Santa Cruz, Apartado 3008, Coimbra, 3001501, Portugal

    Paulo Eduardo Oliveira

  2. CMUC, Mathematics, University of Coimbra, EC Santa Cruz, Apartado 3008, Coimbra, 3001501, Portugal

    Maria da Graça Temido

  3. CMUC, Escola Superior de Tecnologia e Gestão, Instituto Politécnico de Viseu, Campus Politécnico de Repeses, Viseu, 3504510, Portugal

    Carla Henriques

  4. , Dipartimento di Scienze Statistiche, Sapienza Università di Roma, Piazzale Aldo Moro 5, Rome, 00185, Italy

    Maurizio Vichi

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Santos, P.A., Alves, M.I.F. (2013). Improved Shape Parameter Estimation in a Discrete Weibull Model. In: Oliveira, P., da Graça Temido, M., Henriques, C., Vichi, M. (eds) Recent Developments in Modeling and Applications in Statistics. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-32419-2_8

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