An exponential Markovian stationary process
- 1 December 1980
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 17 (4) , 1117-1120
- https://doi.org/10.2307/3213224
Abstract
A new markovian process {Xi : i = 0, 1, 2, ·· ·} following a negative exponential distribution and with the same autocorrelation function as the lag-1 autoregressive process is proposed and studied in this paper. The exact distribution of the maxima and of the minima of n consecutive Xi values are obtained and the exact expected upcrossing interval is given for any crossing level.Keywords
This publication has 1 reference indexed in Scilit:
- The exact distribution of extremes of a non-gaussian processStochastic Processes and their Applications, 1977