[R] generating multivariate autocorrelated time series

Thomas Petzoldt Thomas.Petzoldt at TU-Dresden.de
Wed Mar 22 22:48:55 CET 2006

Hello expeRts,

for an application in hydrology I need to generate multivariate 
(log)normally distributed time series with given auto- and 
cross-correlations. While this is simple for the univariate case (e.g. 
with conditional normal sampling) it seems to be not so trivial for 
multivariate time series (according to papers available about this topic).

An example:

I have several (e.g. 3) time series (which are, of course, *correlated* 
measurements in reality):

z <- ts(matrix(rnorm(300), 100, 3), start=c(1961, 1), frequency=12)

and I want to get the vector for the next time step(s):

z[n+1, 1:3]

respecting the autocorrelations from that matrix up to a given lag value:

a <- acf(z, lag=2)

My question: Does anybody know about a solution (function, package, 
example etc...) available in R?

Thanks a lot!

Thomas P.


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