A simulation method for finite non-stationary time series

DOI10.1080/00949655.2012.755184zbMath1453.62627OpenAlexW2054653496MaRDI QIDQ5220010

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Publication date: 9 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://cronfa.swan.ac.uk/Record/cronfa19801/Download/0019801-22022016102019.pdf

zbMATH Keywords

simulationnon-stationary time seriesautocorrelation structuremarginal distributionCOCOON filament

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Time-varying parameter auto-regressive models for autocovariance nonstationary time series
• Time series simulation with quasi-Monte-Carlo methods
• Autoregressive to anything: Time-series input processes for simulation
• Evaluation of the ARTAFIT Method for Fitting Time-Series Input Processes for Simulation
• Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems
• A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
• Modeling and generating multivariate time-series input processes using a vector autoregressive technique
• Multi-variate time-series simulation

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