A SIMULATION METHOD FOR NON‐NORMAL RANDOM PROCESSES

Gu Xinjian and Huang Yiyun

Journal of Time Series Analysis, 1989, vol. 10, issue 4, 373-374

Abstract: Abstract. In 1980 Davies, Spedding, and Watson presented a simulation method for autoregressive moving‐average (ARMA) processes with non‐normal residuals using Johnson transformations. In this paper we present another simulation method by which the desired non‐normal series are directly obtained from normal series with the required correlation. The new method has some advantages over that of Davies et al.

Date: 1989
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