An Exponential Autoregressive-Moving Average Process EARMA(p,q): Definition and Correlational Properties.
NAVAL POSTGRADUATE SCHOOL MONTEREY CALIF
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A new model for pth-order autoregressive processes with exponential marginal distributions EARp is developed and an earlier model for first order moving average exponential processes is extended to qth-order, given an EMAq process. The correlation structure of both processes are obtained separately. A mixed process, EARMAp,q, incorporating aspects of both EARp and EMAq correlation structures is then developed. The EARMAp,q process is an analog of the standard ARMAp,q time series models for Gaussian processes and is generated from a single sequence of independent and identically distribution exponential variables. Author
- Statistics and Probability