An investigation of the properties of the exponential moving average point process.

Download
Author
Lo, Tzy-dah Jathro
Date
1976-03Advisor
Lewis, Peter A.W.
Second Reader
Richards, F.R.
Metadata
Show full item recordAbstract
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.
Rights
Copyright is reserved by the copyright ownerCollections
Related items
Showing items related by title, author, creator and subject.
-
Discrete Time Series Generated by Mixtures II: Asymptotic Properties
Jacobs, Patricia A.; Lewis, Peter A.W. (Royal Statistical Society, 1978);The darma (discrete mixed autoregressive‐moving average) processes are a broad but parametrically simple class of models for a stationary sequence of dependent discrete random variables. A darma process is formed as a ... -
Discrete Time Series Generated by Mixtures II: Asymptotic Properties
Jacobs, Patricia A.; Lewis, Peter A.W. (Monterey, California: Naval Postgraduate School, 1977-04); NPS55-77-17The DARMA (discrete mixed autoregressive‐moving average) processes are a broad but parametrically simple class of models for a stationary sequence of dependent discrete random variables. A darma process is formed as a ... -
Discrete time series generated by mixtures III: Autoregressive processes (DAR(p))
Jacobs, Patricia A.; Lewis, Peter A. W. (Monterey, California. Naval Postgraduate School, 1978-09); NPS55-78-022A scheme for obtaining a stationary sequence of discrete random variables which has p-th order Markov dependence and a specified marginal distribution is presented. This DAR(p) process, which is a particular p-th order ...