Time series with Birnbaum‐Saunders marginal distributions Journal Articles uri icon

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abstract

  •  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.

publication date

  • July 2018