MEAN SQUARE INVARIANT FORECASTERS FOR SOME WEIBULL DISTRIBUTIONS.
Abstract
Given n initial observations constituting a sequence drawn from a set X1, ... , Xn, of n independent and identically distributed random variables with the Weibull distribution (known shape parameter), a mean square invariant forecaster has been found for the expected minimum (maximum) of a subsequent sequence of the next m observations. When the location parameter instead of the shape parameter is known, reduction to the Gumbel distribution is immediate and the same technique again gives an invariant forecaster. The formulae, although amenable to computation, are cumbersome.
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 01, 1967
- Accession Number
- AD0650511
Entities
People
- J. Tiago De Oliveira
- Sebastian B. Littauer
Organizations
- Columbia University