Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices (Q968505)
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scientific article; zbMATH DE number 5704017
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| English | Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices |
scientific article; zbMATH DE number 5704017 |
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Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices (English)
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5 May 2010
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The authors propose methods for generating random \((p+1)\times (p+1)\) Toeplitz correlation matrices that are consistent with a causal \(\text{AR}(p)\) Gaussian time series model. Also, methods are proposed for generating \((q+1)\times (q+1)\) Toeplitz correlation matrices that are consistent with an invertible \(\text{MA}(q)\) Gaussian time series model. The random generating methods are useful for models with a structured Toeplitz matrix as a parameter.
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autoregressive process
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beta distribution
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longitudinal data
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moving average process
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random matrices
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Toeplitz correlation matrices
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Gaussian time series model
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0.7573882937431335
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0.7212863564491272
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0.7180548906326294
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0.7029402256011963
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0.6976981163024902
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