Time series with Birnbaum‐Saunders marginal distributions. (25th March 2018)

• Record Type: Journal Article
• Authors: Rahul, T.; Balakrishnan, N.; Balakrishna, N.
• Is Part Of: Applied stochastic models in business and industry. Volume 34:Number 4(2018)
• Page Start: 562
• Page End: 581
• Publication Date: 2018-03-25
• Subjects: autoregressive moving average models -- Birnbaum‐Saunders distribution -- consistent and asymptotically normal -- maximum likelihood estimators -- non‐Gaussian time series; Stochastic analysis -- Periodicals; Stochastic processes -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Industrial management -- Mathematical models -- Periodicals; 338.00151923
• DOI: 10.1002/asmb.2324
• Languages: English
• ISSNs: 1524-1904

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.