An Investigation of the Properties of the Exponential Moving Average Point Process

Abstract

Properties of a stationary sequence of random variables chi(i) which have exponential marginal distributions and random linear combinations of order one of an i.i.d. exponential sequence epsilon(i) were discussed by Lawrence and Lewis (1976); they called this model the EMA1 (exponential moving average of order one) point process. This paper will investigate the estimators of the parameter beta of the EMA1 process, and some basic properties of the EMA2 process, and then extend these results to the EMAK process.

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1976
Accession Number
ADA024829

Entities

People

  • Tzy-dah J. Lo

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Estimators
  • Intervals
  • Markov Processes
  • New York
  • Operations Research
  • Probability
  • Probability Density Functions
  • Probability Distributions
  • Random Variables
  • Schools
  • Security
  • Stationary
  • Statistical Analysis
  • Stochastic Processes
  • Theses
  • Time Intervals
  • Universities

Fields of Study

  • Mathematics

Readers

  • Statistical inference.