Fitting replicated multiple time series models

Bowden, R.S. and Clarke, B.R.ORCID: 0000-0003-1419-0768 (2014) Fitting replicated multiple time series models. Mathematics and Statistics, School of Engineering and Information Technology, Murdoch University, Murdoch, Western Australia.

Abstract

This paper shows that the interleaving of replicated multiple time series allows the estimation methods available in standard multiple time series packages to be applied simultaneously to each of the replicated series without loss of information. The methodology employs a non-trivial multivariate extension of an earlier univariate result involving interleaving. The interleaving approach is used to model more than sixty years of daily maximum and minimum temperatures for Perth, Western Australia.

Item Type:	Report
Murdoch Affiliation(s):	School of Engineering and Information Technology
Publisher:	Mathematics and Statistics, School of Engineering and Information Technology, Murdoch University
Notes:	September 2014
URI:	http://researchrepository.murdoch.edu.au/id/eprint/23814

Item Control Page

Downloads