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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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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DOI: https://doi.org/10.1007/978-3-642-32419-2_8
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