Generating pseudo-random time series with specified marginal distributions

Generating pseudo-random time series with specified marginal distributions

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Article ID: iaor19991004
Country: Netherlands
Volume: 94
Issue: 1
Start Page Number: 194
End Page Number: 202
Publication Date: Oct 1996
Journal: European Journal of Operational Research
Authors: , ,
Abstract:

Our goal is to generate a target time series with a specified marginal distribution and a specified lag-one autocorrelation. We consider an existing approach: first transform a known autocorrelated reference series into the corresponding uniform autocorrelated series and then apply the specified inverse transformation to each observation producing the target series. This approach is simple, except that the lag-one reference-series autocorrelation must be determined in a set-up step. We propose a method for determining this autocorrelation.

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