Note—Simulating a Lognormal Time Series with Prescribed Serial Correlation

DOI10.1287/mnsc.23.12.1363zbMath0371.62122OpenAlexW2052216000MaRDI QIDQ4147511

Denis R. Coleman, Alan L. Saipe

Publication date: 1977

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.23.12.1363

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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A method to generate autocorrelated uniform random numbers

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