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Moving-average models with bivariate exponential and geometric distributions

Published online by Cambridge University Press:  14 July 2016

Naftali A. Langberg and
David S. Stoffer
Naftali A. Langberg*
Affiliation:
University of Haifa
David S. Stoffer*
Affiliation:
University of Pittsburgh
*
∗Postal address: Department of Statistics, University of Haifa, Mount Carmel, Haifa 31999, Israel.
∗∗Postal address: Department of Mathematics and Statistics, Faculty of Arts and Sciences, University of Pittsburgh, Pittsburgh, PA 15260, USA.
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Abstract

Two classes of finite and infinite moving-average sequences of bivariate random vectors are considered. The first class has bivariate exponential marginals while the second class has bivariate geometric marginals. The theory of positive dependence is used to show that in various cases the two classes consist of associated random variables. Association is then applied to establish moment inequalities and to obtain approximations to some joint probabilities of the bivariate processes.

Keywords

ASSOCIATIONBIVARIATE MOVING AVERAGESBIVARIATE POINT PROCESSES

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 24 , Issue 1 , March 1987, pp. 48 - 61
Copyright
Copyright © Applied Probability Trust 1987 

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Footnotes

Supported partially by the Air Force Office of Scientific Research under Contract AFOSR-84-0113 at the University of Pittsburgh.

Supported partially by the Air Force Office of Scientific Research under Contracts F49620–K-0001 and AFOSR-84-0113.

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