A robust extension of the bivariate Birnbaum–Saunders distribution and associated inference

Filidor Vilca, N. Balakrishnan and Camila Borelli Zeller

Journal of Multivariate Analysis, 2014, vol. 124, issue C, 418-435

Abstract: We propose here a robust extension of the bivariate Birnbaum–Saunders (BS) distribution derived recently by Kundu et al. (2010). This extension is based on scale mixtures of normal (SMN) distributions that are used for modeling symmetric data. This type of bivariate Birnbaum–Saunders distribution based on SMN models is an absolutely continuous distribution whose marginals are of univariate Birnbaum–Saunders type. We then develop the EM-algorithm for the maximum likelihood (ML) estimation of the model parameters, and illustrate the obtained results with a real data and display the robustness feature of the estimation procedure developed here.

Keywords: Bivariate Birnbaum–Saunders distribution; EM-algorithm; Kurtosis; Maximum likelihood method; Robust estimation; Scale mixtures of normal distributions (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:124:y:2014:i:c:p:418-435

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DOI: 10.1016/j.jmva.2013.11.005

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