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Failure rate of Birnbaum-Saunders distributions: shape, change-point, estimation and robustness. (English) Zbl 1419.62025

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.

MSC:

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