A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)
Lewis, Peter A. W.
Jacobs, Patricia A.
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A stationary sequence of random variables with exponential marginal distributions and the correlation structure of an ARMA (1,1) process is defined. The process is formed as a random linear combination of i.i.d. exponential random variables and is very simple to generate on a computer. Moments and joint distributions for the sequence are obtained, as well as limiting properties of sums of the random variables and of the point process whose intervals have the EARMA (1,1) structure
NPS Report NumberNPS55LW75101
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Lewis, Peter A. W.; Jacobs, Patricia A. (Monterey, California. Naval Postgraduate School, 1977-01); NPS55-77-1A broad but parametrically simple model for a stationary sequence of dependent discrete random variables is given and several submodels are discussed. The structure of the model is specified by the marginal distribution ...
Lawrance, A. J.; Lewis, Peter A. W. (Monterey, California. Naval Postgraduate School, 1975-06); NPS55Lw75061A construction is given for a stationary sequence of random variables the set (X sub i) which have exponential marginal distributions and are random linear combinations of order one of an i.i.d. exponential sequence the ...
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