An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number |
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Authors: | Matteo Farné |
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Institution: | Department of Statistical Sciences, University of Bologna, Bologna, Italy |
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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. |
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Keywords: | Data simulation Multivariate spectrum Multivariate time series Well-conditioning |
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