Generating random AR(p) and MA(q) Toeplitz correlation matrices
DOI10.1016/J.JMVA.2010.01.013zbMATH Open1191.15033OpenAlexW2010689979MaRDI QIDQ968505FDOQ968505
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
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Cites Work
- Uncertainty Analysis with High Dimensional Dependence Modelling
- An integer-valued pth-order autoregressive structure (INAR(p)) process
- Title not available (Why is that?)
- Correlated data analysis: modeling, analytics, and applications
- On the parametrization of autoregressive models by partial autocorrelations
- Generating random correlation matrices based on partial correlations
- Modeling covariance matrices via partial autocorrelations
- Fitting Time-Series Input Processes for Simulation
- Integer-valued moving average (INMA) process
- Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive-Moving Average Models
- Miscellanea. A note on generating correlated binary variables
- Behavior of the NORTA method for correlated random vector generation as the dimension increases
- THE SIZE OF THE STATIONARITY AND INVERTIBILITY REGION OF AN AUTOREGRESSIVE-MOVING AVERAGE PROCESS
- Volume of the space of positive definite sequences
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