Bivariate Exponential and Geometric Autoregressive and Autoregressive Moving Average Models.

Abstract

This document presents autoregressive (AR) and autoregressive moving average (ARMA) processes with bivariate exponential (BE) and bivariate geometric (BG) distributions. The theory of positive dependence is used to show that in various cases, the BEAR, BGAR, BEARMA, and BGARMA models consist of associated random variables. The authors discuss special cases of the BEAR and BGAR processes in which the bivariates processes are stationary and have well known bivariate exponential and geometric distributions. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1986
Accession Number
ADA185591

Entities

People

  • D. S. Stoffer
  • H. W. Block
  • N. A. Langberg

Organizations

  • University of Pittsburgh

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Classification
  • Data Science
  • Information Science
  • Mathematical Analysis
  • Mathematics
  • Notation
  • Numbers
  • Probability
  • Random Variables
  • Real Numbers
  • Security
  • Sequences
  • Stationary
  • Statistical Analysis
  • Statistics
  • Time Series Analysis
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Fields of Study

  • Mathematics

Readers

  • Statistical inference.