A robust extension of the bivariate Birnbaum-Saunders distribution and associated inference

作者：Vilca Filidor^*; Balakrishnan N; Zeller Camila Borelli

来源：Journal of Multivariate Analysis, 2014, 124: 418-435.

DOI：10.1016/j.jmva.2013.11.005

• Bivariate Birnbaum-Saunders distribution
• EM-algorithm
• Kurtosis
• Maximum likelihood method
• Robust estimation
• Scale mixtures of normal distributions

We propose here a robust extension of the bivariate Birnbaum-Saunders (BS) distribution derived recently by Kundu et al. (2010). This extension is based on scale mixtures of normal (SMN) distributions that are used for modeling symmetric data. This type of bivariate Birnbaum-Saunders distribution based on SMN models is an absolutely continuous distribution whose marginals are of univariate Birnbaum-Saunders type. We then develop the EM-algorithm for the maximum likelihood (ML) estimation of the model parameters, and illustrate the obtained results with a real data and display the robustness feature of the estimation procedure developed here.

• 出版日期2014-2