The simulation of random vector time series with given spectrum

DOI10.1016/0895-7177(95)00106-CzbMath0831.62067OpenAlexW1985760980MaRDI QIDQ1900292

Marcus J. Chambers

Publication date: 30 October 1995

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(95)00106-c

zbMATH Keywords

Fourier transformbivariate long memory modelgenerating multivariate time seriesgiven spectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence ⋮ Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding ⋮ On the asymptotic properties of a feasible estimator of the continuous time long memory parameter ⋮ The estimation of systems of joint differential-difference equations

Cites Work

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• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Tests for Hurst effect
• Fractional differencing

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