Estimation in bivariate nonnormal distributions with stochastic variance functions

Tiku M. L., Islam M. Q., SAZAK H. S.

COMPUTATIONAL STATISTICS & DATA ANALYSIS, cilt.52, sa.3, ss.1728-1745, 2008 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 52 Sayı: 3
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1016/j.csda.2007.05.027
  • Dergi Adı: COMPUTATIONAL STATISTICS & DATA ANALYSIS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.1728-1745
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

Data sets in numerous areas of application can be modelled by symmetric bivariate nonnormal distributions. Estimation of parameters in such situations is considered when the mean and variance of one variable is a linear and a positive function of the other variable. This is typically true of bivariate t distribution. The resulting estimators are found to be remarkably efficient. Hypothesis testing procedures are developed and shown to be robust and powerful. Real life examples are given. (C) 2007 Elsevier B.V. All rights reserved.