An investigation of the properties of the exponential moving average point process.
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Authors
Lo, Tzy-dah Jathro
Subjects
linear combinations
moving average
point process
stationary random sequence
estimating the parameter ß
serial correlations
joint expectations
asymptotically unbiased
moving average
point process
stationary random sequence
estimating the parameter ß
serial correlations
joint expectations
asymptotically unbiased
Advisors
Lewis, Peter A.W.
Date of Issue
1976-03
Date
March 1976
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
Properties of a stationary sequence of random variables {xᵢ} which have exponential marginal distributions and random linear combinations of order one of an i.i.d. exponential sequence {eᵢ} were discussed by Lawrance and Lewis (1976); they called this model the EMA1 (exponential moving average of order one) point process. This paper will investigate the estimators of the parameter ß of the EMA1 process, and some basic properties of the EMA2 process, and then extend these results to the EMAk process.
Type
Thesis
Description
Series/Report No
Department
Operations Research
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
Sponsors
Funder
Format
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
Copyright is reserved by the copyright owner