Some simple models for continuous variate time series
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Authors
Lewis, Peter A. W.
Subjects
Continuous variate time series, Exponential, Gamma, Weibull, Laplace, Beta,
Residual analysis
Advisors
Date of Issue
1985-06
Date
1985-06
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
A survey is given of recently developed mathematical models for continuous variate non-Gaussian time series. The emphasis is on marginally specific models with given correlation structure. Exponential, Gamma, Weibull, Laplace, Beta, and Mixed Exponential models are considered for the marginal distributions of the stationary time series. Most of the models are random coefficient, additive linear models. Some discussion of the meaning of autoregression and linearity is given, as well as suggestions for higher-order linear residual analysis for nonGaussian models. (Author)
Type
Technical Report
Description
Series/Report No
Department
Operations Research
Identifiers
NPS Report Number
NPS55-85-009
Sponsors
Prepared for: Office of Naval Research
Arlington, VA
Funder
Format
Citation
Distribution Statement
Approved for public release; distribution is unlimited.