Estimation in the Birnbaum-Saunders distribution based on scale-mixture of normals and the EM-algorithm

N. Balakrishnan, VICTOR ELISEO LEIVA SANCHEZ, Antonio Sanhueza, Filidor Vilca

Research output: Contribution to journalArticlepeer-review

53 Scopus citations

Abstract

Scale mixtures of normal (SMN) distributions are used for modeling symmetric data. Members of this family have appealing properties such as robust estimates, easy number generation, and efficient computation of the ML estimates via the EM-algorithm. The Birnbaum-Saunders (BS) distribution is a positively skewed model that is related to the normal distribution and has received considerable attention. We introduce a type of BS distributions based on SMN models, produce a lifetime analysis, develop the EM-algorithm for ML estimation of parameters, and illustrate the obtained results with real data showing the robustness of the estimation procedure.

Original languageEnglish
Pages (from-to)171-191
Number of pages21
JournalSORT
Volume33
Issue number2
StatePublished - 1 Jul 2009

Keywords

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

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