Premium
A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
Author(s) -
Barone Piero
Publication year - 1987
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1987.tb00426.x
Subject(s) - mathematics , invertible matrix , multivariate statistics , process (computing) , autoregressive–moving average model , representation (politics) , stationary process , autoregressive model , statistics , pure mathematics , computer science , politics , political science , law , operating system
. A method for generating finite independent realizations of a normal multivariate stationary ARMA( p, q ) process is proposed. It is based on an AR (1) representation of an ARMA( p, q ) process allowing for an exact generation of the initial values of the simulation algorithm. Input facilities are supplied in order to assure stationarity and invertibility of the considered process.