Time series with Birnbaum‐Saunders marginal distributions | Zendy

Rahul T. | Zendy; Balakrishnan N. | Zendy; Balakrish. | Zendy

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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.

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