IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v34y2018i4p562-581.html
   My bibliography  Save this article

Time series with Birnbaum‐Saunders marginal distributions

Author

Listed:
  • T. Rahul
  • N. Balakrishnan
  • N. Balakrishna

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.

Suggested Citation

  • T. Rahul & N. Balakrishnan & N. Balakrishna, 2018. "Time series with Birnbaum‐Saunders marginal distributions," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 34(4), pages 562-581, July.
    • Handle: RePEc:wly:apsmbi:v:34:y:2018:i:4:p:562-581
    DOI: 10.1002/asmb.2324
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.2324
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.2324?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Víctor Leiva & Helton Saulo & Rubens Souza & Robert G. Aykroyd & Roberto Vila, 2021. "A new BISARMA time series model for forecasting mortality using weather and particulate matter data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 346-364, March.
    2. Naderi, Mehrdad & Hashemi, Farzane & Bekker, Andriette & Jamalizadeh, Ahad, 2020. "Modeling right-skewed financial data streams: A likelihood inference based on the generalized Birnbaum–Saunders mixture model," Applied Mathematics and Computation, Elsevier, vol. 376(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:34:y:2018:i:4:p:562-581. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.