Author:
Jacobs P. A.,Lewis P. A. W.
Abstract
A stationary sequence of random variables with exponential marginal distributions and the correlation structure of an ARMA (1, 1) process is defined. The process is formed as a random linear combination of i.i.d. exponential random variables and is very simple to generate on a computer. Moments and joint distributions for the sequence are obtained, as well as limiting properties of sums of the random variables and of the point process whose intervals have the EARMA (1, 1) structure.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Reference11 articles.
1. An exponential moving-average sequence and point process (EMA1)
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3. Gaver D. P. and Lewis P. A. W. (1977) First order autoregressive Gamma sequences and point processes. To appear.
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