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Journal article 1261 views

Multivariate time series simulation

Yuzhi Cai Orcid Logo

Journal of Time Series Analysis, Volume: 32, Issue: 5, Pages: 566 - 679

Swansea University Author: Yuzhi Cai Orcid Logo

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DOI (Published version): 10.1111/j.1467-9892.2010.00715.x

Abstract

<p>In this article we present a method for simulating a multi-variate time series via a vector auto regressive moving average (p, q) process. We also carried out two simulation studies to check the performance of the method and applied the methodology to a real sea condition time ser...

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Published in: Journal of Time Series Analysis
Published: Wiley 2011
URI: https://cronfa.swan.ac.uk/Record/cronfa6999
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first_indexed 2013-07-23T11:57:01Z
last_indexed 2018-02-09T04:34:42Z
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spelling 2016-05-01T15:22:41.9203220 v2 6999 2012-01-31 Multivariate time series simulation eff7b8626ab4cc6428eef52516fda7d6 0000-0003-3509-9787 Yuzhi Cai Yuzhi Cai true false 2012-01-31 BAF &#60;p&#62;In this article we present a method for simulating a multi-variate time series via a vector auto regressive moving average (p, q) process. We also carried out two simulation studies to check the performance of the method and applied the methodology to a real sea condition time series. All results show that the method works very well in practice.&#60;/p&#62; Journal Article Journal of Time Series Analysis 32 5 566 679 Wiley Vector time series; simulation; marginal distribution; autocorrelation structure; empirical distribution; 31 12 2011 2011-12-31 10.1111/j.1467-9892.2010.00715.x COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2016-05-01T15:22:41.9203220 2012-01-31T11:30:11.3570000 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Yuzhi Cai 0000-0003-3509-9787 1
title Multivariate time series simulation
spellingShingle Multivariate time series simulation
Yuzhi Cai
title_short Multivariate time series simulation
title_full Multivariate time series simulation
title_fullStr Multivariate time series simulation
title_full_unstemmed Multivariate time series simulation
title_sort Multivariate time series simulation
author_id_str_mv eff7b8626ab4cc6428eef52516fda7d6
author_id_fullname_str_mv eff7b8626ab4cc6428eef52516fda7d6_***_Yuzhi Cai
author Yuzhi Cai
author2 Yuzhi Cai
format Journal article
container_title Journal of Time Series Analysis
container_volume 32
container_issue 5
container_start_page 566
publishDate 2011
institution Swansea University
doi_str_mv 10.1111/j.1467-9892.2010.00715.x
publisher Wiley
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
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description &#60;p&#62;In this article we present a method for simulating a multi-variate time series via a vector auto regressive moving average (p, q) process. We also carried out two simulation studies to check the performance of the method and applied the methodology to a real sea condition time series. All results show that the method works very well in practice.&#60;/p&#62;
published_date 2011-12-31T03:08:38Z
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score 11.037581

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