A mixed exponential time series model,, NMEARMA (p,q)
By: by A.J. Lawrance and P.A.W. Lewis
Contributors: Lewis, P.A.W.; Naval Postgraduate School (U.S.)
Publisher: Naval Postgraduate School
Published: 1980
Place of publication: Monterey, California
Language: eng
Number of pages: 13
Description: A first-order stochastic difference equation with random coefficients is shown to have a solution which makes the marginal distribution of the stationary sequence generated by the equation a convex mixture of two exponential distributions. This Markovian process should be broadly applicable in stochastic modelling in operations analysis. Moreover it can be extended quite simply to a mixed exponential process with mixed pth-order autoregressive and qth-order moving average correlation structure. Coupling of the processes to model multivariate situations is also discussed. (Author)
Notes: Title from cover.

"Prepared for: Naval Postgraduate School"--Cover.

"March 1980"--Cover.

"NPS-55-80-012"--Cover.

DTIC Identifiers: Moving average, PE61152N.

Author(s) key words: Stochastic difference equation; random coefficients; mixed exponential; mixed exponential process; time series; ARMA models; NMEARMA (p,q); NEAR (1); autoregressive process; NMEAR(1); modeling complex systems.

Includes bibliographical references (p. 12).

"Approved for public release; distribution unlimited"--Cover.

Technical report; 1980.

kmc/kmc 9/21/09.