Estimation in bivariate nonnormal distributions with stochastic variance functions

Tiku, Moti; Islam, MOHAMMAD; SAZAK, HAKAN

doi:10.1016/j.csda.2007.05.027

Estimation in bivariate nonnormal distributions with stochastic variance functions

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

COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol.52, no.3, pp.1728-1745, 2008 (SCI-Expanded)

Publication Type: Article / Article
Volume: 52 Issue: 3
Publication Date: 2008
Doi Number: 10.1016/j.csda.2007.05.027
Journal Name: COMPUTATIONAL STATISTICS & DATA ANALYSIS
Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
Page Numbers: pp.1728-1745
Middle East Technical University Affiliated: Yes

Abstract

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.