Publication:
Stationary exponential time series : further model development and a residual analysis

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Authors
Lewis, Peter A. W.
Lawrence, A. J.
Subjects
autoregressive process
NEAR(2) process, exponential variables
non-normal processes, residual analysis
wind speed data
Advisors
Date of Issue
1983-04
Date
1983-04
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
A second order autoregressive process in exponential variables, NEAR(2), is established: the distributional assumptions involved in this model highlight a yery broad four parameter structure which combines five exponential random variables into a sixth exponential random variable. The dependency structure of the NEAR(2) process beyond and including autocorrelations is explored using some new ideas on residual analysis for non-normal processes with autoregressive correlation structure. Other applications of the exponential structure are considered briefly. These include exponential time series with negative correlation and exponential time series with mixed autoregressive-moving average structure. An application to the analysis of a set of wind speed data is included.
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS-55-83-008
Sponsors
supported in part by the Office of Naval Research under Grant NR-42-284
Funder
Format
Citation
Distribution Statement
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.
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