An Exponential Autoregressive-Moving Average Process EARMA(p,q): Definition and Correlational Properties.

Abstract

A new model for pth-order autoregressive processes with exponential marginal distributions EAR(p) is developed and an earlier model for first order moving average exponential processes is extended to qth-order, given an EMA(q) process. The correlation structure of both processes are obtained separately. A mixed process, EARMA(p,q), incorporating aspects of both EAR(p) and EMA(q) correlation structures is then developed. The EARMA(p,q) process is an analog of the standard ARMA(p,q) time series models for Gaussian processes and is generated from a single sequence of independent and identically distribution exponential variables. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 09, 1978
Accession Number
ADA050221

Entities

People

  • A. J. Lawrance
  • Peter A.W. Lewis

Organizations

  • Naval Postgraduate School

Tags

DTIC Thesaurus Topics

  • Data Science
  • Difference Equations
  • Equations
  • Gaussian Processes
  • Information Science
  • Markov Processes
  • Mixing
  • Mixtures
  • Normal Distribution
  • Operations Research
  • Probability
  • Random Variables
  • Sequences
  • Standards
  • Stationary
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Statistical inference.