THE SIMULATION OF RANDOM VECTOR TIME-SERIES WITH GIVEN SPECTRUM

Authors
CHAMBERS MJ
Citation
Mj. Chambers, THE SIMULATION OF RANDOM VECTOR TIME-SERIES WITH GIVEN SPECTRUM, Mathematical and computer modelling, 22(2), 1995, pp. 1-6
Citations number
7
Categorie Soggetti
Mathematics,Mathematics,"Computer Science Interdisciplinary Applications","Computer Science Software Graphycs Programming
Journal title
Mathematical and computer modelling → ACNP
ISSN journal
08957177
Volume
22
Issue
2
Year of publication
1995
Pages
1 - 6
Database
ISI
SICI code
0895-7177(1995)22:2<1:TSORVT>2.0.ZU;2-C
Abstract
A method is proposed for generating multivariate time series which are required to satisfy a given spectral density function, which extends previous work on univariate time series. The performance of the method is assessed in a small simulation exercise for a bivariate long memor y model and is found to perform well.