An exponential autoregressive-moving average process EARMA (p,q): Definition and correlational properties
Abstract
A new model for pth-order autoregressive processes with exponential marginal distributions EAR(p) is developed and an earlier model for first order moving average exponential processes is extended to qth-order, given an EMA(q) process. The correlation structure of both processes are obtained separately. A mixed process, EARMA(p,q), incorporating aspects of both EAR(p) and EMA(q) correlation structures is then developed. The EARMA(p,q) process is an analog of the standard ARMA(p,q) time series models for Gaussian processes and is generated from a single sequence of independent and identically distribution exponential variables. (Author)
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.NPS Report Number
NPS55-78-1Related items
Showing items related by title, author, creator and subject.
-
Benchmarking Contract Management Process Maturity: A Case Study of the US Navy
Rendon, Rene G. (Emerald Group Publishing Limited, 2015);Purpose – The purpose of this paper is to present the results of contract management process maturity assessments in the US Navy using a process capability maturity model. The maturity model is used to benchmark an ... -
Knowledge management innovation of the USCG counternarcotics deployment process.
Espino, James P. (Monterey, California. Naval Postgraduate School, 1995-09);The major contribution this thesis provides is the application of a "break through" knowledge management system design methodology to a knowledge intensive military work process. Specifically, the methodology was used to ... -
Gamma processes
Lewis, Peter A. W.; Mckenzie, Edward; Hugus, David Kennedy (Monterey, California. Naval Postgraduate School, 1986-01); NPS55-86-002The Beta Gamma transformation is described and is used to define a very simple first order autoregressive Beta Gamma process, BGAR(1). Maximum likelihood estimation is discussed for this model, as well as moment estimators. ...