A Moving Average Exponential Point Process (EMAl)
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
Pagination or Media Count:
A construction is given for a stationary sequence of random variables the set X sub i which have exponential marginal distributions and are random linear combinations of order one of an i.i.d. exponential sequence the set epsilon sub i. The joint and trivariate exponential distributions of X sub i-1, X sub i and X sub i 1 are studied, as well as the intensity function, point spectrum and variance time curve for the point process which has the set X sub i sequence for successive times between events. Initial conditions to make the point process count stationary are given, and extensions to higher order moving averages and Gamma point processes are discussed.
- Statistics and Probability