A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)
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Authors
Lewis, Peter A. W.
Jacobs, Patricia A.
Subjects
Point process
Exponential distribution
Moving average
Autoregressive
Probabilistic linear model
Variance time curve
Exponential distribution
Moving average
Autoregressive
Probabilistic linear model
Variance time curve
Advisors
Date of Issue
1975-10
Date
1975-10
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
A stationary sequence of random variables with exponential marginal distributions and the correlation structure of an ARMA (1,1) process is defined. The process is formed as a random linear combination of i.i.d. exponential random variables and is very simple to generate on a computer. Moments and joint distributions for the sequence are obtained, as well as limiting properties of sums of the random variables and of the point process whose intervals have the EARMA (1,1) structure
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS55LW75101
Sponsors
supported by the Office of Naval Research (Grant NR042-284)
Funder
Format
Citation
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.