On some moving-average processes with exponentially distributed innovations

DOI10.1007/BF02589118MaRDI QIDQ3598342zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3928144 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• An exponential moving-average sequence and point process (EMA1)

Cited in

(7)

• On Thresholds of Moving Averages with Given On-Target Significant Levels
• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• On the exponentially weighted moving variance
• scientific article; zbMATH DE number 4102346 (Why is no real title available?)
• Regularity of multifractional moving average processes with random Hurst exponent
• Moving-average models with bivariate exponential and geometric distributions
• The distributional structure of finite moving-average processes

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