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A single series representation of multiple independent ARMA processes

Bowden, R.S. and Clarke, B.R. (2012) A single series representation of multiple independent ARMA processes. Journal of Time Series Analysis, 33 (2). pp. 304-311.

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    Link to Published Version: http://dx.doi.org/10.1111/j.1467-9892.2011.00766.x
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    Abstract

    This article shows that multiple independent time series from the same ARMA process can be represented by a single univariate ARMA time series through an interleaving of the original series. Using this result, existing univariate modelling software can be used to fit a single ARMA time series model simultaneously to multiple independent realizations of the same ARMA process. The interleaving approach and its properties will be presented and compared with alternative estimation options. It will be applied to the modelling of 66 years of daily maximum temperatures for Perth, Western Australia and to other time series models.

    Publication Type: Journal Article
    Murdoch Affiliation: School of Chemical and Mathematical Science
    Publisher: Blackwell Publishing
    Copyright: © 2011 Blackwell Publishing Ltd
    URI: http://researchrepository.murdoch.edu.au/id/eprint/6806
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