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Estimation of a common model for replicated time series realisations

Bowden, R. and Clarke, B.R. (2010) Estimation of a common model for replicated time series realisations. In: ASC 2010 Australian Statistical Conference Statistics in the West: Understanding our World., 6 - 10 December, Fremantle, Western Australia.

Abstract

This talk presents a method for fitting a single ARMA time series model simultaneously to multiple independent realisations of a time series process. It shows that the natural time series representations of this problem cannot be fitted efficiently using readily available software. However by first interleaving the time series it is possible to employ existing univariate modelling tools. The interleaving approach and its properties will be presented along with its application to other time series models and to daily maximum temperatures.

Publication Type: Conference Item
Murdoch Affiliation: School of Chemical and Mathematical Science
URI: http://researchrepository.murdoch.edu.au/id/eprint/6771
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