Scandinavian Working Papers in Economics

Research Reports,
University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law

No 2010:3: Relative Efficiency of a Quantile Method for Estimating Parameters in Censored Two-Parameter Weibull Distributions

Robert Jonsson ()
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Robert Jonsson: Department of Economics, School of Business, Economics and Law, University of Gothenburg, Postal: Department of Economics, School of Business, Economics and Law, University of Gothenburg

Abstract: n simulation studies the computer time can be much reduced by using censoring. Here a simple method based on quantiles (Q method) is compared with the Maximum Likelihood (ML) method when estimating the parameters in censored two-parameter Weibull distributions. The ML estimates being obtained using the SAS procedure NLMIXED. It is demonstrated that the estimators obtained by the Q method are less efficient than the ML estimators, but this can be compensated for by increasing the sample size whi... morech nevertheless requires much less computer time than the ML method. The ML estimates can only be obtained by an iterative process and this opens the possibility for failures in the sense that reasonable estimates are presented as unreliable, or anomalous estimates are presented as reliable. Such anomalies were never obtained with the Q method.

Keywords: Relative Efficiency; Quantile Method; Censored Two-Parameter Weibull Distributions

JEL-codes: C10

25 pages, February 4, 2011

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