Multi-variate time-series simulation

DOI10.1111/j.1467-9892.2010.00715.xzbMath1294.62191OpenAlexW2172195048MaRDI QIDQ5495701

Yuzhi Cai

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00715.x

zbMATH Keywords

simulationvector time seriesempirical distributiongeneralized Pareto distributionautocorrelation structuremarginal distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Related Items (3)

Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities ⋮ A simulation method for finite non-stationary time series ⋮ A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation

Uses Software

• ismev

Cites Work

• Time series: theory and methods
• Time series simulation with quasi-Monte-Carlo methods
• Evaluation of the ARTAFIT Method for Fitting Time-Series Input Processes for Simulation
• A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
• An introduction to statistical modeling of extreme values

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