A simulation algorithm for non-causal VARMA processes

DOI10.1016/J.SPL.2014.12.005zbMATH Open1308.62170OpenAlexW2044029154MaRDI QIDQ2018622FDOQ2018622

Authors: M. Giurcanu 

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.12.005

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zbMATH Keywords

Jordan decompositionstationary processesnon-causal processesVARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

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• Elements of multivariate time series analysis.
• Maximum likelihood estimation for noncausal autoregressive processes
• Time series: theory and methods
• Improved multivariate portmanteau test
• Noncausal vector autoregression
• Vector linear time series models
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• On the resultant property of the Fisher information matrix of a vector ARMA process
• Least absolute deviation estimation for all-pass time series models

Cited In (1)

• An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number

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