An exponential autoregressive-moving average process EARMA (p,q): Definition and correlational properties
Lawrance, A. J.
Lewis, P. A. W.
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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)
NPS Report NumberNPS55-78-1
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