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

autoregressive processbeta distributionGaussian time series modellongitudinal datamoving average processrandom matricesToeplitz correlation matrices

Mathematics Subject Classification ID

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

Review text

The authors propose methods for generating random \((p+1)\times (p+1)\) Toeplitz correlation matrices that are consistent with a causal \(\text{AR}(p)\) Gaussian time series model. Also, methods are proposed for generating \((q+1)\times (q+1)\) Toeplitz correlation matrices that are consistent with an invertible \(\text{MA}(q)\) Gaussian time series model. The random generating methods are useful for models with a structured Toeplitz matrix as a parameter.

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Cited in

(1)

• A method for generating realistic correlation matrices

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