Fitting Time-Series Input Processes for Simulation

DOI10.1287/OPRE.1040.0190zbMATH Open1165.62335OpenAlexW2122681435MaRDI QIDQ5322112FDOQ5322112

Authors: Bahar Biller, Barry L. Nelson 

Publication date: 18 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.552.5683

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cited In (15)

• Construction of phenomenological models from numerical scalar time series
• Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices
• Evaluation of the ARTAFIT method for fitting time-series input processes for simulation
• Modeling and generating multivariate time-series input processes using a vector autoregressive technique
• Analysis of event-based, single-server nonstationary simulation responses using classical time-series models
• Optimal control of dosage decisions in controlled ovarian hyperstimulation
• Impact of dependence on single-server queueing systems
• Temporal shaping of simulated time series with cyclical sample paths
• Data-driven simulation of complex multidimensional time series
• Strength of tail dependence based on conditional tail expectation
• Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
• The use of synthetic input sequences in time series modeling
• Model fitting for real-data time series
• Faster Kriging: facing high-dimensional simulators
• Copula-based multivariate input models for stochastic simulation

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