No Cover Image

Journal article 1142 views

Multivariate time series simulation

Yuzhi Cai Orcid Logo

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

Swansea University Author: Yuzhi Cai Orcid Logo

Full text not available from this repository: check for access using links below.

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...

Full description

Published in: Journal of Time Series Analysis
Published: Wiley 2011
URI: https://cronfa.swan.ac.uk/Record/cronfa6999
Tags: Add Tag
No Tags, Be the first to tag this record!
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: Faculty of Humanities and Social Sciences
Issue: 5
Start Page: 566
End Page: 679