Comparison of four methods for estimating the Weibull distribution parameters

Abstract

In this paper we study the performance of the least square method, the weighted least square method, the maximum likelihood method and the method of moments for estimating the Weibull distribution parameters. The comparison is based on the Monte Carlo simulation, the methods are compared in terms of the root mean square error and sample size n . The comparison shows that the maximum likelihood method and the method of moments provide similar estimates. We recommend the maximum likelihood method to estimate the Weibull distribution parameters due to its good properties. For very small sample sizes we recommend the weighted least square method.