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

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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• scientific article; zbMATH DE number 3854103

Cites work

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

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(20)

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

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