Simulation of Common Univariate and Multivariate Models

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


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.

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© 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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