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Multivariate time series simulation / Yuzhi Cai

Journal of Time Series Analysis, Volume: 32, Issue: 5, Pages: 566 - 679

Swansea University Author: Yuzhi, Cai

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DOI (Published version): 10.1111/j.1467-9892.2010.00715.x

Abstract

<p>In this article we present a method for simulating a multi-variate time series via a vector auto regressive moving average (p, q) process. We also carried out two simulation studies to check the performance of the method and applied the methodology to a real sea condition time ser...

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Published in: Journal of Time Series Analysis
Published: Wiley 2011
URI: https://cronfa.swan.ac.uk/Record/cronfa6999
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Abstract: <p>In this article we present a method for simulating a multi-variate time series via a vector auto regressive moving average (p, q) process. We also carried out two simulation studies to check the performance of the method and applied the methodology to a real sea condition time series. All results show that the method works very well in practice.</p>
Keywords: Vector time series; simulation; marginal distribution; autocorrelation structure; empirical distribution;
College: School of Management
Issue: 5
Start Page: 566
End Page: 679