Accession Number:

ADA021824

Title:

A Mixed Autoregressive-Moving Average Exponential Sequence and Point Process (EARMA 1,1)

Descriptive Note:

Technical rept.

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s):

Report Date:

1975-10-01

Pagination or Media Count:

37.0

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE