Autoregressive to anything: Time-series input processes for simulation

  • Authors:
  • Marne C. Cario;Barry L. Nelson

  • Affiliations:
  • Department of Industrial, Welding and Systems Engineering, The Ohio State University, Columbus, OH 43210, USA;Department of Industrial Engineering and Management Sciences, McCormick school of Engineering and Applied Sciences, Northwestern University, 2225 N. Campus Drive, Evanston, IL 60208, USA

  • Venue:
  • Operations Research Letters
  • Year:
  • 1996

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Abstract

We develop a model for representing stationary time series with arbitrary marginal distributions and autocorrelation structures and describe how to generate data based upon our model for use in a simulation.