The simulation of random vector time series with given spectrum

DOI10.1016/0895-7177(95)00106-CMaRDI QIDQ1900292zbMATH OpenOpenAlexFDO

Authors Marcus J. Chambers

Publication date 30 October 1995

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(95)00106-c

zbMATH Keywords

Fourier transformbivariate long memory modelgenerating multivariate time seriesgiven spectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• scientific article; zbMATH DE number 3410584 (Why is no real title available?)
• Fractional differencing
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Tests for Hurst effect

Cited in

(9)

• Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding
• Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
• Spectral mimicry: A method of synthesizing matching time series with different Fourier spectra
• Multi-variate time-series simulation
• scientific article; zbMATH DE number 2009860 (Why is no real title available?)
• On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
• The estimation of systems of joint differential-difference equations
• Multivariate wavelet Whittle estimation in long-range dependence
• Simulation of Multivariate Gaussian Time Series

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