Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities
DOI10.1111/JTSA.12125zbMath1330.62352OpenAlexW1936535216MaRDI QIDQ3452740
M. Azimmohseni, M. Khalafi, Ahmad Reza Soltani
Publication date: 13 November 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12125
total variationsimulationspectral density matrixfunctions of bounded variationsmultivariate stationary process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)
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