Modeling and simulating time series input processes with ARTAFACTS and ARTAGEN

Authors:
Marne C. Cario
Affiliations:
Delphi Packard Electric Systems, P.O. Box 431, Warren, Ohio
Venue:
WSC '96 Proceedings of the 28th conference on Winter simulation
Year:
1996

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Abstract

We develop an efficient numerical method for fitting ARTA processes for use as simulation input. ARTA processes are stationary time series with arbitrary marginal distributions and autocorrelations specified through finite lag p. We discuss the software package ARTAFACTS, which implements the numerical method, and the package ARTAGEN, which generates observations from ARTA processes. To demonstrate the use of the software, we present a real-world example.