A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS |
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| Authors: | Piero Barone |
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| Affiliation: | Istituto per le Applicazioni del Calcolo 'M. Picone' (CNR), Rome |
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| Abstract: | Abstract. A method for generating finite independent realizations of a normal multivariate stationary ARMA( p, q ) process is proposed. It is based on an AR (1) representation of an ARMA( p, q ) process allowing for an exact generation of the initial values of the simulation algorithm. Input facilities are supplied in order to assure stationarity and invertibility of the considered process. |
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| Keywords: | Multivariate ARMA process simulation state-space representation |
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