Some Exponential Alternatives to the Normal Model in Time Series Analysis

Abstract

An alternative to the normal model in time series analysis is presented wherein the sequence of random variables have exponential and mixed-exponential marginal distributions. The moving-average and autoregressive models are analyzed with respect to serial correlations and conditional expectations. The mixed-exponential autoregressive model and the mixed autoregressive-moving-average model with exponential marginals are presented. A method of estimating the serial correlation coefficient is examined, and digital computer simulation of several of the models are given.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1975
Accession Number
AD1121321

Entities

People

  • Eric S. Hodson

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Coefficients
  • Colorado
  • Computer Simulations
  • Computers
  • Digital Computers
  • Electromagnetic Aircraft Launch Systems
  • Equations
  • Mathematical Models
  • Models
  • New York
  • Operations Research
  • Probability
  • Probability Density Functions
  • Random Variables
  • Schools
  • Sequences
  • Simulations
  • Stationary
  • Statistical Analysis
  • Time Series Analysis
  • United States

Fields of Study

  • Mathematics

Readers

  • Statistical inference.