Some Exponential Alternatives to the Normal Model in Time Series Analysis
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Authors
Hodson, Eric Staf
Subjects
Time series analysis
Mixed exponential autoregressive model
autoregressive-moving-average model
Mixed exponential autoregressive model
autoregressive-moving-average model
Advisors
Lewis, Peter A. W.
Date of Issue
1975-06
Date
Publisher
Monterey, California. Naval Postgraduate School
Language
Abstract
An alternative to the normal model in time series analysis is presented wherein the sequence of random variables have exponential and mixed-exponential marginal distributions. The moving-average and autoregressive models are analyzed with respect to serial correlations and conditional expectations. The mixed-exponential autoregressive model and the mixed autoregressive-moving-average model with exponential marginals are presented. A method of estimating the serial correlation coefficient is examined, and digital computer simulation of several of the models are given.
Type
Thesis
Description
Series/Report No
Department
Operations Research (OR)
Organization
Identifiers
NPS Report Number
Sponsors
Funder
Format
Citation
Distribution Statement
Approved for public release; distribution is unlimited
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. As such, it is in the public domain, and under the provisions of Title 17, United States Code, Section 105, it may not be copyrighted.