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Extending the correlation structure of exponential autoregressive–moving-average processes

Published online by Cambridge University Press:  14 July 2016

Ed McKenzie
Ed McKenzie*
Affiliation:
University of Strathclyde
*
∗Postal address: Department of Mathematics, University of Strathclyde, Livingstone Tower, 26 Richmond St. Glasgow Gl 1XH, U.K.
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Abstract

Some recent constructions for the generation of dependent sequences of identically distributed negative exponential random variables with specific correlation structures are generalized. This is achieved by attributing a correlation structure to the binary sequence which controls the generation of the exponentials. The procedure causes the autocorrelation function of the exponential sequence to copy that of the binary sequence and thus be extended to include negative values and other values beyond the usual range.

Keywords

STATIONARY EXPONENTIAL SEQUENCESAUTOREGRESSIVE-MOVING-AVERAGE STRUCTURESSTATIONARY BINARY SEQUENCES
Type
Research Papers
Information
Journal of Applied Probability , Volume 18 , Issue 1 , March 1981 , pp. 181 - 189
Copyright
Copyright © Applied Probability Trust 

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References

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