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

zbMATH Keywords

total variationsimulationspectral density matrixfunctions of bounded variationsmultivariate stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Nonparametric change point detection in multivariate piecewise stationary time series

Cites Work

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• ON SIMULATION OF A GAUSSIAN STATIONARY PROCESS
• Multi-variate time-series simulation
• Monte Carlo Solution of Nonlinear Vibrations

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