An investigation of the properties of the exponential moving average point process.
investigationofp00lotz.pdf (3.054Mb)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.
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