Journal article 1175 views
Multivariate time series simulation
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...
| Published in: | Journal of Time Series Analysis |
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| Published: |
Wiley
2011
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| 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> |
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| Keywords: |
Vector time series; simulation; marginal distribution; autocorrelation structure; empirical distribution; |
| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
5 |
| Start Page: |
566 |
| End Page: |
679 |