1 research outputs found
Simulation of Multivariate Non-Gaussian Autoregressive Time Series with Given Autocovariance and Marginals
A semi-analytic method is proposed for the generation of realizations of a
multivariate process of a given linear correlation structure and marginal
distribution. This is an extension of a similar method for univariate
processes, transforming the autocorrelation of the non-Gaussian process to that
of a Gaussian process based on a piece-wise linear marginal transform from
non-Gaussian to Gaussian marginal. The extension to multivariate processes
involves the derivation of the autocorrelation matrix from the marginal
transforms, which determines the generating vector autoregressive process. The
effectiveness of the approach is demonstrated on systems designed under
different scenarios of autocovariance and marginals.Comment: 21 pages, 6 figures, accepted in Simulation Modelling Practice and
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