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Simulate two correlated time series data from 2 ARMA models

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JiashenTeh
JiashenTeh 2015-3-5
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

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