A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)
By: by P.A. Jacobs and P.A.W. Lewis
Contributors: Jacobs, Patricia A.; Naval Postgraduate School (U.S.)
Publisher: Naval Postgraduate School
Published: 1975
Place of publication: Monterey, Calif
Language: eng
Number of pages: 33
Subjects: Probabilities; Mathematical models; Point processes; Random Numbers; Analysis of variance
Description: 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.
Notes: Title from cover.

"Prepared for: Office of Naval Research"--Cover.

"October 1975"--Cover.

"NPS-55Lw75101"--Cover.

Author(s) subject terms: Point process, exponential distribution, probabilistic linear model, moving average, autoregressive, variance time curve.

Includes bibliographical references (p. 32)

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

Technical report; 1975.