Generating random AR(p) and MA(q) Toeplitz correlation matrices

DOI10.1016/J.JMVA.2010.01.013MaRDI QIDQ968505zbMATH OpenOpenAlexFDO

Authors Chi Tim Ng, Harry Joe

Publication date 5 May 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2010.01.013

zbMATH Keywords

longitudinal databeta distributionrandom matricesmoving average processautoregressive processGaussian time series modelToeplitz correlation matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (algebraic aspects) (15B52) Toeplitz, Cauchy, and related matrices (15B05)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Behavior of the NORTA method for correlated random vector generation as the dimension increases
• Correlated data analysis: modeling, analytics, and applications
• Fitting Time-Series Input Processes for Simulation
• Generating random correlation matrices based on partial correlations
• Integer-valued moving average (INMA) process
• Miscellanea. A note on generating correlated binary variables
• Modeling covariance matrices via partial autocorrelations
• On the parametrization of autoregressive models by partial autocorrelations
• Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models
• THE SIZE OF THE STATIONARITY AND INVERTIBILITY REGION OF AN AUTOREGRESSIVE-MOVING AVERAGE PROCESS
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Volume of the space of positive definite sequences

Cited in

(1)

• A method for generating realistic correlation matrices

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