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Statistical inference for a general class of distributions with time-varying parameters
Vlad Stefan Barbu1, Alex Karagrigoriou2, Andreas Makrides1
1Laboratoire de Mathématiques Raphaël Salem, Université de Rouen Normandie, Avenue de l'Université, Saint-Étienne-du-Rouvray, France.
Abstract:
In this article we are interested in a general class of distributions for independent not necessarily identically distributed random variables, closed under minima, that includes a number of discrete and continuous distributions like the Geometric, Exponential, Weibull or Pareto. The main parameter involved in this class of distributions is assumed to be time varying with several possible modeling options. This is of particular interest in reliability and survival analysis for describing the time to event or failure. The maximum likelihood estimation of the parameters is addressed and the asymptotic properties of the estimators are discussed. We provide real and simulated examples and we explore the accuracy of the estimating procedure as well as the performance of classical model selection criteria in choosing the correct model among a number of competing models for the time-varying parameters of interest.
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