Time series with Birnbaum-Saunders marginal distributions

被引：11
|
作者：
Rahul, T. [1 ]
Balakrishnan, N. [2 ]
Balakrishna, N. [1 ]
机构：
[1] Cochin Univ Sci & Technol, Dept Stat, Cochin 682022, Kerala, India
[2] McMaster Univ, Dept Math & Stat, Hamilton, ON, Canada
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2018年 / 34卷 / 04期
基金：
加拿大自然科学与工程研究理事会;
关键词：
autoregressive moving average models; Birnbaum-Saunders distribution; consistent and asymptotically normal; maximum likelihood estimators; non-Gaussian time series; LIFE DISTRIBUTIONS; GAMMA-PROCESSES; MODELS; FATIGUE; FAMILY;
D O I：
10.1002/asmb.2324
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：562 / 581
页数：20
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