A consistent method of estimation for the three-parameter Weibull distribution

Hideki Nagatsuka, Toshinari Kamakura and N. Balakrishnan

Computational Statistics & Data Analysis, 2013, vol. 58, issue C, 210-226

Abstract: In this paper, we propose a new method for the estimation of parameters of the three-parameter Weibull distribution. The method is based on a data transformation, which avoids the problem of unbounded likelihood. In the proposed method, under mild conditions, the estimates always exist uniquely in the entire parameter space, and the estimators also have consistency over the entire parameter space. Through Monte Carlo simulations, we further show that the proposed method performs better than some existing methods in terms of bias and root mean squared error (RMSE). Finally, two examples based on real data sets are presented to illustrate the proposed method.

Keywords: Weibull distribution; Maximum likelihood estimation; Consistency; Existence; Uniqueness; Bias; Mean squared error (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:58:y:2013:i:c:p:210-226

DOI: 10.1016/j.csda.2012.09.005

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