VoseTimeMultiMA1 | Vose Software


See also: Time series in ModelRisk, Vose Multivariate Time Series window; Fitting in ModelRisk;Multivariate Time Series Fit

VoseTimeMultiMA1({Means}, {Theta}, {CovMatrix}, {E0}, Log Return, {Initial Values}, Data_in_rows)




Array function that simulates from a Multivariate Moving-Average time series model of order 1.

  • {Means} - array of mean log returns per period for each variable.

  • {Theta} - matrix of one period moving average parameters.

  • {CovMatrix} - covariance matrix of log returns.

  • {E0} - vector white noise process at period 0

  • Log Return - an optional parameter. Function generates log returns if set to TRUE, or variable values if set to FALSE or omitted.

  • {Initial Values} - array of starting values (at time zero) for each variable.

  • Data_in_rows - optional parameter that specifies if the data is in rows (TRUE) or columns (FALSE, default).



k - number of variables

- k x 1 random vector, if   is the value of the variable at time t, then is the log return defined as

- k x 1 vector of means

  - k x k moving average coefficient matrix

- k x 1 vector of uncorrelated random variables, which is defined as follows:


VoseFunctions for this time series

VoseTimeMultiMA1 - generates an array of random values from this time series.

VoseTimeMultiMA1Object - creates an object for this time series.

VoseTimeMultiMA1Fit - generates an array with random values from this time series fitted to data.

VoseTimeMultiMA1FitObject - creates an Object for this time series fitted to data.



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