This article proposes an algorithm to generate vector moving average (VMA) processes with a variable spectrum having a fixed condition number across frequencies. This method is based on the theory of multivariate linear spectrum for VMA processes, and is developed in a two-step procedure. Specific examples are provided, and the precision of generated time series is discussed. Such an algorithm is a useful tool to assess the performance of selected multivariate spectral estimators, and it turns out to be particularly appropriated in the Kolmogorov asymptotic estimation framework.

An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number / Farné, Matteo. - In: COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION. - ISSN 0361-0918. - ELETTRONICO. - 45:5(2016), pp. 1664-1675. [10.1080/03610918.2014.930900]

An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number

FARNE', MATTEO
2016

Abstract

This article proposes an algorithm to generate vector moving average (VMA) processes with a variable spectrum having a fixed condition number across frequencies. This method is based on the theory of multivariate linear spectrum for VMA processes, and is developed in a two-step procedure. Specific examples are provided, and the precision of generated time series is discussed. Such an algorithm is a useful tool to assess the performance of selected multivariate spectral estimators, and it turns out to be particularly appropriated in the Kolmogorov asymptotic estimation framework.
2016
An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number / Farné, Matteo. - In: COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION. - ISSN 0361-0918. - ELETTRONICO. - 45:5(2016), pp. 1664-1675. [10.1080/03610918.2014.930900]
Farné, Matteo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/552951
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