Generating random AR(p) and MA(q) Toeplitz correlation matrices

Journal of Multivariate Analysis

Volumn 101, Issue 6, 2010, Pages 1532-1545

  Ng, Chi Tim ^a,b   Joe, Harry ^a,b  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Autoregressive process; Beta distribution; Longitudinal data; Moving average process

Indexed keywords

EID: 77949520347     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2010.01.013     Document Type: Article

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