Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities

DOI10.1111/JTSA.12125MaRDI QIDQ3452740zbMATH OpenOpenAlexFDO

Authors M. Azimmohseni, M. Khalafi, A. R. Soltani

Publication date 13 November 2015

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12125

zbMATH Keywords

functions of bounded variationsmultivariate stationary processsimulationspectral density matrixtotal variation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
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• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
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• Multi-variate time-series simulation
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• On the rate of convergence of Fourier series of functions of bounded variation
• Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
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(8)

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• Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
• Recursive Simulation of Stationary Multivariate Random Processes—Part II
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• Nonparametric change point detection in multivariate piecewise stationary time series
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• A simulation procedure for periodically correlated processes
• Simulation algorithms for stationary sequences with distributions in the form of a mixture of Gaussian distributions

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