A new autoregressive time series model in exponential variables (NEAR(1))
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: 34
Description: A new time series model for exponential variables having first order autoregressive structure is presented. Unlike the recently studied standard autoregressive model in exponential variables (EAR(1)), runs of constantly scaled values are avoidable, and the two parameter structure allows some adjustment of time nonreversibility effects in sample path behavior. The model is further developed by the use of cross-coupling and antithetic ideas to allow negative dependency. Joint distributions and autocorrelations are investigated. A transformed version of the model has a uniform marginal distribution and its correlation and regression structures are also obtained. Estimation aspects of the models are briefly considered. (Author)
Notes: Title from cover.

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

"March 1980"--Cover.

"NPS-55-80-011"--Cover.

Author(s) key words: Autoregressive model in exponential variables; negative correlation; cross-coupled processes; antithetic variables; correlated uniform process; time series; point process; simulation.

Includes bibliographical references (p. 27).

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

Technical report; 1980.