Moving-average models with bivariate exponential and geometric distributions

DOI10.2307/3214058MaRDI QIDQ3779622zbMATH OpenOpenAlexFDO

Authors Naftali A. Langberg, David S. Stoffer

Publication date 1987

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214058

zbMATH Keywords

associationtime series analysispositive dependencemoment inequalitiesmarginal distributionsstationary vector processesbivariate point processesbivariate exponential innovation sequencesbivariate exponential marginalsbivariate geometric marginalsmoving averages of sequences of bivariate i.i.d. random variables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stationary stochastic processes (60G10) Stochastic processes (60G99)

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Cited in

(7)

• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• The estimation of M4 processes with geometric moving patterns
• Following a trend with an exponential moving average: analytical results for a Gaussian model
• On some moving-average processes with exponentially distributed innovations
• Bivariate exponential and geometric autoregressive and autoregressive moving average models
• WALSH-FOURIER ANALYSIS OF DISCRETE-VALUED TIME SERIES
• General dependence structures for some models based on exponential families with quadratic variance functions

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