Modeling and generating multivariate time-series input processes using a vector autoregressive technique

DOI10.1145/937332.937333zbMath1390.65021OpenAlexW1993614146MaRDI QIDQ4564834

Bahar Biller, Barry L. Nelson

Publication date: 12 June 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/937332.937333

zbMATH Keywords

numerical integrationmultivariate time seriesvector autoregressive processinput modeling

Mathematics Subject Classification ID

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

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