Rahul, T.; Balakrishnan, N.; Balakrishna, N. Time series with Birnbaum-Saunders marginal distributions. (English) Zbl 1400.62195 Appl. Stoch. Models Bus. Ind. 34, No. 4, 562-581 (2018). 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. Cited in 5 Documents 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 Keywords:autoregressive moving average models; Birnbaum-Saunders distribution; consistent and asymptotically normal; maximum likelihood estimators; non-Gaussian time series PDFBibTeX XMLCite \textit{T. Rahul} et al., Appl. Stoch. Models Bus. Ind. 34, No. 4, 562--581 (2018; Zbl 1400.62195) Full Text: DOI