Autoregressive to anything: Time-series input processes for simulation

DOI10.1016/0167-6377(96)00017-XMaRDI QIDQ2564301zbMATH OpenOpenAlexFDO

Authors Marne C. Cario, Barry L. Nelson

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

arbitrary marginal distributionARTA-processautocorrelation structureautoregressive to anythingsimulationstandardized 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

• Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems
• Bivariate distributions with given marginals
• Gamma processes
• scientific article; zbMATH DE number 4086818 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• TES: A Class of Methods for Generating Autocorrelated Uniform Variates
• The Impact of Autocorrelation on Queuing Systems
• The multivariate normal distribution

Cited in

(23)

• A matching algorithm for generation of statistically dependent random variables with arbitrary marginals
• Designing \(\overline X\) charts for known autocorrelations and unknown marginal distribution
• Generating pseudo-random time series with specified marginal distributions
• Covariance model simulation using regular vines
• MARM processes. I: General theory
• The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation
• Using the sum-of-uniforms method to generate correlated random variates with certain marginal distribution
• Evaluation of the ARTAFIT method for fitting time-series input processes for simulation
• Constructing discrete unbounded distributions with Gaussian-copula dependence and given rank correlation
• Shapley Effects for Global Sensitivity Analysis: Theory and Computation
• Modeling and generating multivariate time-series input processes using a vector autoregressive technique
• Temporal shaping of simulated time series with cyclical sample paths
• Flexible modelling of correlated operation times with application in product-reuse facilities
• Channel Modeling
• Transforming Gaussian correlations. Applications to generating long-range power-law correlated time series with arbitrary distribution
• A simulation method for finite non-stationary time series
• Fitting Time-Series Input Processes for Simulation
• Optimal control of dosage decisions in controlled ovarian hyperstimulation
• Normal correlation coefficient of non-normal variables using piece-wise linear approximation
• Generating copula-correlated random variables: a sequential acceptance-rejection method
• Monte Carlo simulation of present value of cash flows
• Estimating the steady-state mean from short transient simulations
• A simple method for effective multi-site generation of stochastic hydrologic time series

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