
Accession Number : ADA115754
Title : Extension of Some Models for PositiveValued Time Series.
Descriptive Note : Doctoral thesis,
Corporate Author : NAVAL POSTGRADUATE SCHOOL MONTEREY CA
Personal Author(s) : Hugus,David Kennedy
PDF Url : ADA115754
Report Date : Mar 1982
Pagination or Media Count : 358
Abstract : Time series models with autoregressive, moving average and mixed autoregressivemoving average correlation structure and with positivevalued nonnormal marginal distribution are considered. First, a flexible mixed model GLARMA(p,q) with Gamma marginals is investigated. The correlation structure for several special cases is derived. For the firstorder autoregressive case, GLAR(1), the conditional density of X sub n given X sub n1 is derived. This leads to the formation of a likelihood function and a numerical approximation to and a simulation study of the maximum likelihood method of parameter estimation. Multivariate extensions of the model are considered briefly. Second, three methods for generating firstorder moving average sequences with Exponential marginals are examined. These generalize the EMA (1) Exponential model. Negative correlation using antithetic variables is investigated in the moving average models. A preliminary analysis of wind speed data obtained over a 15year period in the Gulf of Alaska is presented. A model with four harmonic deterministic mean multiplying random innovative factors modeled by a GLAR (1) process is developed. Correlograms and periodograms are used to determine the model for the mean and the structure of the innovation process. (Author)
Descriptors : *Linear regression analysis, *Automatic, *Communication and radio systems, *Weighting functions, *Models, Correlation techniques, Determinants(Mathematics), Estimates, Harmonics, Time series analysis, Approximation(Mathematics), Simulation, Wind velocity, Numerical analysis, Simulators, Mean, Value, Probability, Theses
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE