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Improved method for uniform simulation of stable minimum phase real ARMA (p,q) processes

Abstract:
In this letter, an improvement over the Beadle-Djuric method to simulate the parameters of stable invertible autoregressive moving average (ARMA) (p, q) processes is presented. It is computationally efficient and is especially suitable for simulation of high-order models.

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Publisher copy:
10.1109/97.763147

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
Publisher:
IEEE
Journal:
IEEE Signal Processing Letters
Volume:
6
Issue:
6
Pages:
142-144
Publication date:
1999-06-01
DOI:
ISSN:
1070-9908
Source identifiers:
190697
Language:
English
Pubs id:
pubs:190697
UUID:
uuid:bdd65077-64af-4b7d-92e4-fcd60e6dfef0
Local pid:
pubs:190697
Deposit date:
2012-12-19

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