A simulation algorithm for non-causal VARMA processes

作者：Giurcanu Mihai C^*

来源：Statistics & Probability Letters, 2015, 98: 65-72.

DOI：10.1016/j.spl.2014.12.005

• VARMA processes
• Non-causal processes
• Stationary processes
• Jordan decomposition

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 VARMA(2, 2) process.

• 出版日期2015-3