✦ LIBER ✦

The simulation of random vector time series with given spectrum

✍ Scribed by M.J. Chambers

Publisher: Elsevier Science
Year: 1995
Tongue: English
Weight: 491 KB
Volume: 22
Category: Article
ISSN: 0895-7177
DOI: 10.1016/0895-7177(95)00106-c

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✦ Synopsis

method is proposed for generating multivariate time series which are required to satisfy a given spectral density function, which extends previous work on univariate time series. The performance of the method is assessed in a small simulation exercise for a bivariate long memory model and is found to perform well.

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