Accession Number:

ADA128347

Title:

Stationary Exponential Time Series: Further Model Development and a Residual Analysis.

Descriptive Note:

Technical rept.,

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s):

Report Date:

1983-04-01

Pagination or Media Count:

46.0

Abstract:

A second order autoregressive process in exponential variables, NEAR2, is established the distributional assumptions involved in this model highlight is a very broad four parameter structure which combines five exponential random variables into a sixth exponential random variable. The dependency structure of the NEAR2 process beyond and including autocorrelations is explored using some new ideas on residual analysis for non-normal processes with autoregressive correlation structure. Other applications of the exponential structure are considered briefly. These include exponential time series with negative correlation and exponential time series with mixed autoregressive-moving average structure. An application to the analysis of a set of wind speed data is included. Author

Subject Categories:

  • Meteorology
  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE