A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS

Piero Barone

Journal of Time Series Analysis, 1987, vol. 8, issue 2, 125-130

Abstract: Abstract. 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.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1987.tb00426.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:8:y:1987:i:2:p:125-130

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 ().