On simulation of multidimensional random sequences. (English) Zbl 0808.60025

Anděl, Jiří

Acta Univ. Carol., Math. Phys. 35, No. 1, 3-8 (1994).

Summary: A method for simulating dependent random variables with given moments of their marginal distribution and with a given covariance function is briefly reviewed. The Kall’s method for the solution of the multidimensional moment problem is introduced. The results are applied to simulations of two-dimensional AR(1) processes. A necessary condition for the existence of an AR(1) process with given moments and with a given matrix of autoregressive coefficients is derived.

MSC:

60E99	Distribution theory
65C10	Random number generation in numerical analysis

Keywords:

method for simulating dependent random variables; multidimensional moment problem; matrix of autoregressive coefficients