Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices

DOI10.1016/j.jmva.2010.01.013zbMath1191.15033OpenAlexW2010689979MaRDI QIDQ968505

Chi Tim Ng, Joe, Harry

Publication date: 5 May 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.01.013

zbMATH Keywords

longitudinal datarandom matricesmoving average processbeta distributionautoregressive processGaussian time series modelToeplitz correlation matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (algebraic aspects) (15B52) Toeplitz, Cauchy, and related matrices (15B05)

Related Items (1)

A method for generating realistic correlation matrices

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