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Time series with Birnbaum‐Saunders marginal distributions
Author(s) -
Rahul T.,
Balakrishnan N.,
Balakrish.
Publication year - 2018
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.2324
Subject(s) - autoregressive model , estimator , series (stratigraphy) , mathematics , statistics , sequence (biology) , marginal distribution , maximum likelihood , marginal likelihood , gaussian , econometrics , random variable , paleontology , genetics , physics , quantum mechanics , biology
A stationary sequence of random variables with Birnbaum‐Saunders marginal distribution is constructed using a Gaussian autoregressive moving average sequence. The parameters of the model are then estimated by the maximum likelihood method, and the resulting estimators are shown to be consistent and asymptotically normal. A simulation study is carried out to assess the performance of the estimators. The proposed model is finally used to analyze 2 real data sets.