The Exponential Autoregressive-Moving Average Earma(P,Q) Process

Summary A new model for pth-order autoregressive processes with exponential marginal distributions, ear(p), is developed and an earlier model for first-order moving average exponential processes is extended to qth-order, giving an ema(q) process. The correlation structures of both processes are obtained separately. A mixed process, earma(p,q), incorporating aspects of both ear(p) and ema(q) correlation structures is then developed. The earma(p, q) process is an analog of the standard arma(p, q) time series models for Gaussian processes and is generated from a single sequence of independent and identically distributed exponential varables.