Simulate two correlated time series data from 2 ARMA models

Question

JiashenTeh 2015-3-5

0
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https://ww2.mathworks.cn/matlabcentral/answers/181650-simulate-two-correlated-time-series-data-from-2-arma-models

编辑： JiashenTeh 2015-3-5

Dear all,

I have established 2 ARMA models. say y1 and y2.

The time series y1 and y2 are supposed to be correlated with each other. Let's say they have 0.8 correlation between them.

The question is:

How do I simulate time series y1 and y2 such that they have 0.8 correlation? I attached the two models below in case you need something to work with.

Very much thank you in advance!

The two ARMA models.

 ARIMA(3,0,2) Model:
    --------------------
    Distribution: Name = 'Gaussian'
               P: 3
               D: 0
               Q: 2
        Constant: 0.230658
              AR: {2.10448 -1.47569 0.364027} at Lags [1 2 3]
             SAR: {}
              MA: {-0.475711 0.0637226} at Lags [1 2]
             SMA: {}
        Variance: 0.395315
ARIMA(3,0,2) Model:
  --------------------
  Distribution: Name = 'Gaussian'
             P: 3
             D: 0
             Q: 2
      Constant: 0.347302
            AR: {1.84827 -1.08885 0.229785} at Lags [1 2 3]
           SAR: {}
            MA: {-0.108187 0.0858406} at Lags [1 2]
           SMA: {}
      Variance: 0.317522