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.
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Gómez, V. (2019). Simulation of Common Univariate and Multivariate Models. In: Linear Time Series with MATLAB and OCTAVE. Statistics and Computing. Springer, Cham. https://doi.org/10.1007/978-3-030-20790-8_9
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DOI: https://doi.org/10.1007/978-3-030-20790-8_9
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