Accession Number:

ADA050221

Title:

An Exponential Autoregressive-Moving Average Process EARMA(p,q): Definition and Correlational Properties.

Descriptive Note:

Technical rept.,

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CALIF

Personal Author(s):

Report Date:

1978-01-09

Pagination or Media Count:

38.0

Abstract:

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE