A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS

DOI10.1111/j.1467-9892.1987.tb00426.xzbMath0608.62109OpenAlexW2056937925MaRDI QIDQ3747564

Piero Barone

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00426.x

zbMATH Keywords

initial valuesinvertibilitystate-space representationsimulation algorithmgenerating finite independent realizationsnormal multivariate stationary ARMA(p,q) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing ⋮ Computation of vector ARMA autocovariances ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ On the resultant property of the Fisher information matrix of a vector ARMA process ⋮ A simulation method for finite non-stationary time series ⋮ Multi-variate time-series simulation

Cites Work

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