Author:
Jacobs P. A.,Lewis P. A. W.
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.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Reference11 articles.
1. An exponential moving-average sequence and point process (EMA1)
2. The Statistical Analysis of Series of Events
3. Gaver D. P. and Lewis P. A. W. (1977) First order autoregressive Gamma sequences and point processes. To appear.
Cited by
94 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献