期刊
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
卷 41, 期 9, 页码 1654-1666出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/03610918.2011.611315
关键词
Estimation; Gumbel distribution; Probability plot; Rank regression; Weibull distribution; Weighted least-squares regression
Probability plots are often used to estimate the parameters of distributions. Using large sample properties of the empirical distribution function and order statistics, weights to stabilize the variance in order to perform weighted least squares regression are derived. Weighted least squares regression is then applied to the estimation of the parameters of the Weibull, and the Gumbel distribution. The weights are independent of the parameters of the distributions considered. Monte Carlo simulation shows that the weighted least-squares estimators outperform the usual least-squares estimators totally, especially in small samples.
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