IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v9y1988i4p403-410.html
   My bibliography  Save this article

A Note On The Generation Of Independent Realizations Of A Vector Autoregressive Moving‐Average Process

Author

Listed:
  • B. L. Shea

Abstract

. Barone has described a method for generating independent realizations of a vector autoregressive moving‐average (ARMA) process which involves recasting the ARMA model in state space form. We discuss a direct method of computing the initial state covariance matrix T0 which, unless the number of time series is large, is usually faster than using the doubling algorithm of Anderson and Moore. Our numerical comparisons are particularly valuable because T0 must also be computed when calculating the likelihood function. A number of other computational refinements are described. In particular, we advocate the use of Choleski factorizations rather than spectral decompositions. For a pure moving‐average process computational savings can be achieved by working directly with the ARMA model rather than with its state space representation.

Suggested Citation

  • B. L. Shea, 1988. "A Note On The Generation Of Independent Realizations Of A Vector Autoregressive Moving‐Average Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(4), pages 403-410, July.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:4:p:403-410
    DOI: 10.1111/j.1467-9892.1988.tb00479.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1988.tb00479.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1988.tb00479.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:9:y:1988:i:4:p:403-410. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.