Article ID Journal Published Year Pages File Type
1154534 Statistics & Probability Letters 2015 8 Pages PDF
Abstract

We propose a simulation algorithm for non-causal vector autoregressive moving average (VARMA) processes. The algorithm is based on the Jordan canonical form of the companion matrix in the state space representation. We illustrate its performance for a non-causal V ARMA(2,2) process.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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A simulation algorithm for non-causal VARMA processes
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