The simulation of random vector time series with given spectrum

Authors:
M. J. Chambers
Affiliations:
Department of Economics, University of Essex Wivenhoe Park, Colchester, Essex CO4 3SQ, England
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1995

Citing 0
Cited 2

Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding

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Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding

Signal Processing

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Abstract

A 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.