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Time series formed from the superposition of discrete renewal processes

Published online by Cambridge University Press:  14 July 2016

P. A. Blight
P. A. Blight*
Affiliation:
Hatfield Polytechnic
*
∗Postal address: School of Information Science, Hatfield Polytechnic, Hatfield, Herts AL10 9AB, UK.
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Abstract

The superposition of independent, discrete, renewal processes produces a counting process which is also a discrete time series. The conditional distribution and correlation structure of this kind of time series may be obtained. In suitable conditions the conditional distribution has a spectrum which is exactly or approximately rational. When this is so, an ARMA can be found which matches the spectrum of the superposition.

Keywords

ARMA TIME SERIESBOX-JENKINS
Type
Short Communications
Information
Journal of Applied Probability , Volume 26 , Issue 1 , March 1989 , pp. 189 - 195
Copyright
Copyright © Applied Probability Trust 1989 

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References

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