Generation of time series models with given spectral properties

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Authors Georgi N. Boshnakov, Bisher M. Iqelan
Journal/Conference Name Journal of Time Series Analysis
Paper Category
Paper Abstract We give a method for generation of periodically correlated and multivariate ARIMA models whose dynamic characteristics are partially or fully specified in terms of spectral poles and zeroes or their equivalents in the form of eigenvalues/eigenvectors of associated model matrices. Our method is based on the spectral decomposition of multi-companion matrices and their factorization into products of companion matrices. Generated models are needed in simulation but may also be used in estimation, e.g. to set sensible initial values of parameters for nonlinear optimization. Copyright 2009 The Authors. Journal compilation 2009 Blackwell Publishing Ltd
Date of publication 2009
Code Programming Language R

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