Autoregressive to anything: Time-series input processes for simulation
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Publication:2564301
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
simulationautocorrelation structurearbitrary marginal distributionARTA-processautoregressive to anythingstandardized Gaussian autoregressive processstationary time-series input processtransformation-oriented approach
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)
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