The Asymptotic Covariance Matrix and its Use in Simulation Studies

2017 ◽  
Vol 24 (6) ◽  
pp. 881-896 ◽  
Author(s):  
Njål Foldnes ◽  
Steffen Grønneberg
Keyword(s):  
Covariance Matrix ◽  
Asymptotic Covariance Matrix ◽  
Simulation Studies ◽  
Asymptotic Covariance

scholarly journals Asymptotic Comparison of Parameters Estimates of Two-parameter Weibull Distribution

2019 ◽  
Vol 67 (1) ◽  
pp. 253-263
Author(s):  
Tereza Konečná ◽  
Zuzana Hübnerová
Keyword(s):  
Weibull Distribution ◽  
Covariance Matrix ◽  
Asymptotic Efficiency ◽  
Parameter Estimates ◽  
Asymptotic Covariance Matrix ◽  
Generalized Variance ◽  
Asymptotic Covariance ◽  
Probability Plot ◽  
Efficiency Comparison ◽  
Two Parameter

The Weibull distribution is frequently applied in various fields, ranging from economy, business, biology, to engineering. This paper aims at estimating the parameters of two-parameter Weibull distribution are determined. For this purpose, the method of quantiles (three different choices of quantiles) and Weibull probability plot method is utilized. The asymptotic covariance matrix of the parameter estimates is derived for both methods. For optimal random choices of quantiles, the variance, covariance and generalized variance is computed. The main contribution of this study is the introduction of the best choice of percentiles for the method of quantiles and the joint asymptotic efficiency comparison of applied methods.

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