Estimation in bivariate nonnormal distributions with stochastic variance functions


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

COMPUTATIONAL STATISTICS & DATA ANALYSIS, cilt.52, ss.1728-1745, 2008 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 52 Konu: 3
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1016/j.csda.2007.05.027
  • Dergi Adı: COMPUTATIONAL STATISTICS & DATA ANALYSIS
  • Sayfa Sayıları: ss.1728-1745

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.