1. Department of Statistics, Cochin University of Science & Technology, Cochin, India;2. Department of Mathematics and Statistics, McMaster University, Hamilton, Ontario, Canada
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.