The multidimensional markov chain with prespecified asymptotic means, and (auto-)covariances

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Abstract
In this paper a method is presented to construct random time series which, starting from their present values, converge to stationary time series with a priori specified mean values, standard deviations, correlations and autocorrelations. The method is applied to simulate time series of price-inflation, wage-inflation, and interest rates, whose mean values, standard deviations, correlations and autocorrelations converge to the values which are estimated from historical data This application is a circular part of a Decision Support System which assists management of pension funds in analysing new methods of calculating pension premiums.

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