A Mixed Autoregressive-Moving Average Exponential Sequence and Point Process (EARMA 1,1)
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
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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.
- Statistics and Probability