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"Generating random AR(p) and MA(q) Toeplitz correlation matrices."

Chi Tim Ng, Harry Joe (2010)

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DOI: 10.1016/J.JMVA.2010.01.013

access: open

type: Journal Article

metadata version: 2022-10-02

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Chi Tim Ng, Harry Joe:
Generating random AR(p) and MA(q) Toeplitz correlation matrices. J. Multivar. Anal. 101(6): 1532-1545 (2010)

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