Autoregressive to anything: Time-series input processes for simulation

Autoregressive to anything: Time-series input processes for simulation

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Article ID: iaor1998467
Country: Netherlands
Volume: 19
Issue: 3
Start Page Number: 51
End Page Number: 58
Publication Date: Aug 1996
Journal: Operations Research Letters
Authors: ,
Keywords: time series & forecasting methods
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.

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