Regime-switching Pareto distributions for ACD models
Computational Statistics & Data Analysis
Improved statistical inference for the two-parameter Birnbaum-Saunders distribution
Computational Statistics & Data Analysis
Diagnostics analysis for log-Birnbaum-Saunders regression models
Computational Statistics & Data Analysis
Influence diagnostics in log-Birnbaum-Saunders regression models with censored data
Computational Statistics & Data Analysis
On the hazard function of Birnbaum-Saunders distribution and associated inference
Computational Statistics & Data Analysis
On Birnbaum-Saunders inference
Computational Statistics & Data Analysis
Intraday trade and quote dynamics: A Cox regression analysis
Mathematics and Computers in Simulation
On the interday homogeneity in the intraday rate of trading
Mathematics and Computers in Simulation
Birnbaum-Saunders nonlinear regression models
Computational Statistics & Data Analysis
Inference procedures for the Birnbaum-Saunders distribution and its generalizations
Computational Statistics & Data Analysis
Testing hypotheses in the Birnbaum-Saunders distribution under type-II censored samples
Computational Statistics & Data Analysis
Robust statistical modeling using the Birnbaum-Saunders-t distribution applied to insurance
Applied Stochastic Models in Business and Industry
Shape and change point analyses of the Birnbaum-Saunders-t hazard rate and associated estimation
Computational Statistics & Data Analysis
Generalized Birnbaum-Saunders kernel density estimators and an analysis of financial data
Computational Statistics & Data Analysis
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In this paper we introduce the Birnbaum-Saunders autoregressive conditional duration (BS-ACD) model as an alternative to the existing ACD models which allow a unimodal hazard function. The BS-ACD model is the first ACD model to integrate the concept of conditional quantile estimation into an ACD model by specifying the time-varying model dynamics in terms of the conditional median duration, instead of the conditional mean duration. In the first half of this paper we illustrate how the BS-ACD model relates to the traditional ACD model, and in the second half we discuss the assessment of goodness-of-fit for ACD models in general. In order to facilitate both of these points, we explicitly illustrate the similarities and differences between the BS-ACD model and the Generalized Gamma ACD (GG-ACD) model by comparing and contrasting their formulation, estimation, and results from fitting both models to samples for six NYSE securities.