A Mixed Autoregressive-Moving Average Exponential Sequence and Point Process (EARMA 1,1)

Abstract

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.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1975
Accession Number
ADA021824

Entities

People

  • P. A. Jacobs
  • P. A. Lewis

Organizations

  • Naval Postgraduate School

Tags

DTIC Thesaurus Topics

  • Asymptotic Normality
  • Computational Science
  • Data Science
  • Information Science
  • Intensity
  • Intervals
  • Markov Chains
  • Markov Processes
  • Military Research
  • Mixing
  • Models
  • New York
  • Operations Research
  • Probability
  • Random Variables
  • Statistical Analysis
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.
  • Wave Propagation and Nonlinear Chaotic Dynamics.