A simulation algorithm for non-causal VARMA processes

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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Year of publication:	2015
Authors:	Giurcanu, Mihai C.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 98.2015, C, p. 65-72
Publisher:	Elsevier
Subject:	VARMA processes \| Non-causal processes \| Stationary processes \| Jordan decomposition

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189328