Time series with Birnbaum‐Saunders marginal distributions

T. Rahul, N. Balakrishnan and N. Balakrishna

Applied Stochastic Models in Business and Industry, 2018, vol. 34, issue 4, 562-581

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.

Date: 2018
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https://doi.org/10.1002/asmb.2324

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:34:y:2018:i:4:p:562-581

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