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Time series with Birnbaum‐Saunders marginal distributions |
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| Authors: | T Rahul N Balakrishnan N Balakrishna |
| Institution: | 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. |
| Keywords: | autoregressive moving average models Birnbaum‐Saunders distribution consistent and asymptotically normal maximum likelihood estimators non‐Gaussian time series |