Simulation of multivariate non-gaussian autoregressive time series with given autocovariance and marginals
نویسندگان
چکیده
منابع مشابه
Simulation of multivariate non-gaussian autoregressive time series with given autocovariance and marginals
A semi-analytic method is proposed for the generation of realizations of a multivariate process of a given linear correlation structure and marginal distribution. This is an extension of a similar method for univariate processes, transforming the autocorrelation of the non-Gaussian process to that of a Gaussian process based on a piece-wise linear marginal transform from non-Gaussian to Gaussia...
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ژورنال
عنوان ژورنال: Simulation Modelling Practice and Theory
سال: 2014
ISSN: 1569-190X
DOI: 10.1016/j.simpat.2014.03.001