Numerical methods for fitting and simulating autoregressive-to-anything processes

Marne C. Cario*, Barry L. Nelson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

63 Scopus citations

Abstract

An ARTA (AutoRegressive-to-Anything) Process is a time series with arbitrary marginal distribution and autocorrelation structure specified through finite lag p. We develop an efficient numerical method for fitting ARTA processes and discuss its implementation in the software ARTAFACTS. We also present the software ARTAGEN that generates observations from ARTA processes for use as inputs to a computer simulation. We illustrate the use of the software with a real-world example.

Original languageEnglish (US)
Pages (from-to)72-81
Number of pages10
JournalINFORMS Journal on Computing
Volume10
Issue number1
DOIs
StatePublished - 1998

Keywords

  • Input modeling
  • Time series

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Computer Science Applications
  • Management Science and Operations Research

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