Extending the correlation structure of exponential autoregressive–moving-average processes
Keyword(s):
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.
1981 ◽
Vol 18
(01)
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pp. 181-189
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1991 ◽
Vol 12
(3)
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pp. 193-205
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1986 ◽
Vol 18
(03)
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pp. 679-705
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1986 ◽
Vol 18
(3)
◽
pp. 679-705
◽
1993 ◽
Vol 14
(3)
◽
pp. 297-304
Keyword(s):