Generation Of Time Series Models With Given Spectral Properties

Georgi N. Boshnakov and Bisher M. Iqelan

Journal of Time Series Analysis, 2009, vol. 30, issue 3, 349-368

Abstract: Abstract. We give a method for generation of periodically correlated and multivariate ARIMA models whose dynamic characteristics are partially or fully specified in terms of spectral poles and zeroes or their equivalents in the form of eigenvalues/eigenvectors of associated model matrices. Our method is based on the spectral decomposition of multi‐companion matrices and their factorization into products of companion matrices. Generated models are needed in simulation but may also be used in estimation, e.g. to set sensible initial values of parameters for nonlinear optimization. We are not aware of any other general method for multivariate linear systems of comparable generality and control over the spectral properties of the generated model.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2009.00617.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:30:y:2009:i:3:p:349-368

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().