A Mixed Exponential Time Series Model. NMEARMA(p,q).

Abstract

A first-order stochastic difference equation with random coefficients is shown to have a solution which makes the marginal distribution of the stationary sequence generated by the equation a convex mixture of two exponential distributions. This Markovian process should be broadly applicable in stochastic modelling in operations analysis. Moreover it can be extended quite simply to a mixed exponential process with mixed pth-order autoregressive and qth-order moving average correlation structure. Coupling of the processes to model multivariate situations is also discussed. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1980
Accession Number
ADA085316

Entities

People

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

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Classification
  • Coefficients
  • Complex Systems
  • Couplings
  • Cross Correlation
  • Difference Equations
  • Distribution Functions
  • Equations
  • Military Research
  • Probability
  • Random Variables
  • Schools
  • Security
  • Sequences
  • Stationary
  • Technical Information Centers
  • United States

Fields of Study

  • Mathematics

Readers

  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Statistical inference.