Stationary Exponential Time Series: Further Model Development and a Residual Analysis.
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
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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
- Statistics and Probability