Module G05PCF in NAG

General Information

Generates a realization of a multivariate time series from a VARMA model

Usage

CALL G05PCF(MODE,K,XMEAN,IP,PHI,IQ,THETA,VAR,LDV,N,X,IGEN,ISEED,R,NR,IWORK,LIWORK,IFAIL)

Classification

L6b	Generate pseudo-random numbers from multivariate distributions

Type

subroutine in NAG package (G05 sublibrary)

Language

Fortran

Availability

Proprietary, Portable