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On The Maximum of the Geometric Moving Average
Published online by Cambridge University Press: 09 April 2009
Extract
By the geometric moving average of the independent, identically distributed random variables {Xn}, we mean the stochastic process , where a is a real number such that 0≦a≦1.
- Type
- Research Article
- Information
- Journal of the Australian Mathematical Society , Volume 9 , Issue 1-2 , February 1969 , pp. 100 - 108
- Copyright
- Copyright © Australian Mathematical Society 1969