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Comparison of estimators of the Weibull Distribution

Author

Listed:
  • Muhammad Akram

    (Monash University)

  • Aziz Hayat

    (Deakin University)

Abstract

We compare the small sample performance (in terms of bias and root mean squared error) of L-moment estimator of 3-parameter Weibull distribution with Maximum likelihood Estimation (MLE), Moment Estimation (MoE), Least squared estimation (LSE), the Modified MLE (MMLE), Modified MoE (MMoE), and the Maximum Product of Spacing (MPS). Overall, the LM method has the tendency to perform well as it is almost always close to the best method of estimation. The ML performance is remarkable even in small sample of size n = 10 when the shape parameter β lies in [1.5, 4] range.

Suggested Citation

  • Muhammad Akram & Aziz Hayat, 2012. "Comparison of estimators of the Weibull Distribution," Working Papers 2012_04, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:ecomet:fe_2012_04
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    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2012_04.pdf
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