On some moving-average processes with exponentially distributed innovations

DOI10.1007/BF02589118zbMATH Open1446.62244OpenAlexW2080372857MaRDI QIDQ3598342FDOQ3598342

Authors: Vesna Jevremovic, Jovan D. Mališić 

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02589118

Recommendations

• Moving-average models with bivariate exponential and geometric distributions
• The distributional structure of finite moving-average processes
• Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• A bivariate Marshall and Olkin exponential minification process

zbMATH Keywords

bivariate exponential distributionexponential distributionmoving-average processmixed exponential distributionErlang's distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stationary stochastic processes (60G10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• An exponential moving-average sequence and point process (EMA1)

Cited In (7)

• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• On the exponentially weighted moving variance
• Moving-average models with bivariate exponential and geometric distributions
• Regularity of multifractional moving average processes with random Hurst exponent
• Title not available (Why is that?)
• The distributional structure of finite moving-average processes
• On Thresholds of Moving Averages with Given On-Target Significant Levels

This page was built for publication: On some moving-average processes with exponentially distributed innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3598342)