Extending the correlation structure of exponential autoregressive–moving-average processes
- 1 March 1981
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 18 (1) , 181-189
- https://doi.org/10.2307/3213178
Abstract
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.Keywords
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