Bias-reduced extreme quantiles estimators of Weibull distributions

International audienceIn this paper, we consider the problem of estimating an extreme quantile of a Weibull tail-distribution. The new extreme quantile estimator has a reduced bias compared to the more classical ones proposed in the literature. It is based on an exponential regression model that was introduced in Diebolt et al. (2008). Its asymptotic normality is established and a small simulation study is provided in order to illustrate its efficiency