Numerical Methods for Fitting and Simulating Autoregressive-To-Anything Processes

Authors:
Marne C. Cario;Barry L. Nelson
Affiliations:
-;-
Venue:
INFORMS Journal on Computing
Year:
1998

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Abstract

An ARTA (AutoRegressive-to-Anything)Process is a time series with arbitrary marginal distribution and autocorrelation structure specified through finite lag p. We develop an efficient numerical method forfitting ARTA processes and discuss its implementation in the software ARTAFACTS. We also present the software ARTAGEN that generates observations from ARTA processes for use as inputs to a computer simulation. We illustrate the use of the software with a real-world example.