Author:
Lawrance A. J.,Lewis P. A. W.
Abstract
A construction is given for a stationary sequence of random variables {Xi
} which have exponential marginal distributions and are random linear combinations of order one of an i.i.d. exponential sequence {ε
i
}. The joint and trivariate exponential distributions of Xi
−1, Xi
and Xi
+ 1 are studied, as well as the intensity function, point spectrum and variance time curve for the point process which has the {Xi
} sequence for successive times between events. Initial conditions to make the point process count stationary are given, and extensions to higher-order moving averages and Gamma point processes are discussed.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
17 articles.
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