Simulate arima cross-correlated time series
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Hi,
I have 10 time-series and I want to simulate N paths of each.
I modeled each time series as an arima model. Now, how can I simulate those paths taking into consideration the fact that there is cross-correlation between time series?
Thank you.
1 Comment
Dheeraj Singh
on 19 Aug 2019
For simulating two time series with come correlation you might want to have look at VAR:
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