Giurcanu, Mihai C. - In: Statistics & Probability Letters 98 (2015) C, pp. 65-72
We propose a simulation algorithm for non-causal vector autoregressive moving average (VARMA) processes. The algorithm is based on the Jordan canonical form of the companion matrix in the state space representation. We illustrate its performance for a non-causal V ARMA(2,2) process.