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Simple Multivariate Time Series for Simulations of Complex Systems

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Author
Lewis, Peter A.W.
Date
1981
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Abstract
Recent work has made the generation of univariate time series for inputs to stochastic systems quite simple. The time series are all random linear combina- tion~ of i.i.d. random variables with Exponential, Gamma and hyperexponential marginal distributions. The simplicity of structure of these time series models makes it practical to combine them to model multivariate situations. Thus one can model, for example, alternating sequences of response and think times at a terminal in which response and· think times are not only autocorrelated, but also crosscorrelated.
Description
1981 Winter Simulation Conference Proceedings T.I. Oren, C.M. Delfosse, C.M. Shub (Eds.)
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This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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http://hdl.handle.net/10945/38613
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