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Simulation of Common Univariate and Multivariate Models

  • Víctor Gómez
Chapter
Part of the Statistics and Computing book series (SCO)

Abstract

In Chap.  1, we showed how to simulate series following several of the univariate or multivariate models more used in practice. These include ARIMA, structural and transfer function models, as well as VARMA, VARMAX, and innovations state space models.

Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Víctor Gómez
    • 1
  1. 1.General Directorate of BudgetsMinistry of Finance and Public AdministrationsMadridSpain

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