Accession Number:

ADA158451

Title:

Some Simple Models for Continuous Variate Time Series.

Descriptive Note:

Technical rept.,

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s):

Report Date:

1985-06-01

Pagination or Media Count:

33.0

Abstract:

A survey is given of recently developed mathematical models for continuous variate non-Gaussian time series. The emphasis is on marginally specific models with given correlation structure. Exponential, Gamma, Weibull, Laplace, Beta, and Mixed Exponential models are considered for the marginal distributions of the stationary time series. Most of the models are random coefficient, additive linear models. Some discussion of the meaning of autoregression and linearity is given, as well as suggestions for higher-order linear residual analysis for nonGaussian models. Author

Subject Categories:

  • Numerical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE