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>A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
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A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
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机译:A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
Abstract.A method for generating finite independent realizations of a normal multivariate stationary ARMA(p, q) process is proposed. It is based on anAR(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.
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