A simulation algorithm for non-causal VARMA processes

Mihai C. Giurcanu

Statistics & Probability Letters, 2015, vol. 98, issue C, 65-72

Abstract: We propose a simulation algorithm for non-causal vector autoregressive moving average (VARMA) processes. The algorithm is based on the Jordan canonical form of the companion matrix in the state space representation. We illustrate its performance for a non-causal V ARMA(2,2) process.

Keywords: VARMA processes; Non-causal processes; Stationary processes; Jordan decomposition (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.12.005

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