Failure rate of Birnbaum-Saunders distributions: shape, change-point, estimation and robustness

DOI10.1214/17-BJPS389MaRDI QIDQ2415494zbMATH OpenOpenAlexWikidataFDO

Authors Emilia Athayde, Michelli Barros, Víctor Leiva, Assis Azevedo

Publication date 22 May 2019

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1551690036

zbMATH Keywords

likelihood-based methodslogistic distributionMonte Carlo simulationnormal distributionStudent's-\(t\) distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Parametric hypothesis testing (62F03) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Reliability and life testing (62N05)

Review text

For a given symmetric random variable $Z$ on $\mathbb{R}$, a random variable $T$ with the corresponding generalised Birnbaum-Saunders distribution (with parameters $\alpha$ and $\beta$) is defined by \[ T=\beta\left(\frac{\alpha Z}{2}+\sqrt{\left(\frac{\alpha Z}{2}\right)^2+1}\right)^2\,. \] The authors investigate the properties and estimation of the failure rate of this random variable $T$ in the cases where $Z$ has either a standard normal, logistic or Student's-$t$ distribution. This includes a simulation study and application to real-world data.

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