Estimation in bivariate nonnormal distributions with stochastic variance functions
Makaleler > Tam Makale · 2007
Yazarlar: Moti L. Tiku, M. Qamarul Islam, Hakan Savaş SAZAK
Computational Statistics & Data Analysis, SCI Expanded İndekslerine Giren Dergi, Uluslararası, Wos, 2007, cilt 52, ss 1728-1745
DOI: 10.1016/j.csda.2007.05.027
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.