A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)
- 1 March 1977
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 9 (1), 87-104
- https://doi.org/10.2307/1425818
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.Keywords
This publication has 4 references indexed in Scilit:
- An exponential moving-average sequence and point process (EMA1)Journal of Applied Probability, 1977
- Markov Processes. Structure and Asymptotic BehaviorPublished by Springer Nature ,1971
- On semi-Markov processes on arbitrary spacesMathematical Proceedings of the Cambridge Philosophical Society, 1969
- The Statistical Analysis of Series of EventsPublished by Springer Nature ,1966