Multi-variate time-series simulation

Journal of Time Series Analysis

Volumn 32, Issue 5, 2011, Pages 566-579

  Cai, Yuzhi ^a  

^a UNIVERSITY OF PLYMOUTH   (United Kingdom)

Author keywords

Autocorrelation structure; C15; C32; Empirical distribution; Generalized Pareto distribution; Marginal distribution; Simulation; Vector time series

Indexed keywords

EID: 79961183598     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2010.00715.x     Document Type: Article

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