AUTOREGRESSIVE TO ANYTHING - TIME-SERIES INPUT PROCESSES FOR SIMULATION

Authors
CARIO MC NELSON BL
Citation
Mc. Cario et Bl. Nelson, AUTOREGRESSIVE TO ANYTHING - TIME-SERIES INPUT PROCESSES FOR SIMULATION, Operations research letters, 19(2), 1996, pp. 51-58
Citations number
12
Categorie Soggetti
Operatione Research & Management Science","Operatione Research & Management Science
Journal title
Operations research letters → ACNP
ISSN journal
01676377
Volume
19
Issue
2
Year of publication
1996
Pages
51 - 58
Database
ISI
SICI code
0167-6377(1996)19:2<51:ATA-TI>2.0.ZU;2-8
Abstract
We develop a model for representing stationary time series with arbitr ary marginal distributions and autocorrelation structures and describe how to generate data based upon our model for use in a simulation.