An Investigation of the Properties of the Exponential Moving Average Point Process
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
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Properties of a stationary sequence of random variables chii which have exponential marginal distributions and random linear combinations of order one of an i.i.d. exponential sequence epsiloni were discussed by Lawrence and Lewis 1976 they called this model the EMA1 exponential moving average of order one point process. This paper will investigate the estimators of the parameter beta of the EMA1 process, and some basic properties of the EMA2 process, and then extend these results to the EMAK process.
- Statistics and Probability