Autoregressive to anything: Time-series input processes for simulation

DOI10.1016/0167-6377(96)00017-XzbMath0863.62075OpenAlexW2066148333MaRDI QIDQ2564301

Barry L. Nelson, Marne C. Cario

Publication date: 15 June 1997

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(96)00017-x

zbMATH Keywords

simulationautocorrelation structurearbitrary marginal distributionARTA-processautoregressive to anythingstandardized Gaussian autoregressive processstationary time-series input processtransformation-oriented approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• The multivariate normal distribution
• Bivariate distributions with given marginals
• Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems
• Gamma processes
• TES: A Class of Methods for Generating Autocorrelated Uniform Variates
• The Impact of Autocorrelation on Queuing Systems

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