×

Time series with Birnbaum-Saunders marginal distributions. (English) Zbl 1400.62195

Summary: 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62N05 Reliability and life testing
62F12 Asymptotic properties of parametric estimators
62P20 Applications of statistics to economics
PDFBibTeX XMLCite
Full Text: DOI