Journal article
A single series representation of multiple independent ARMA processes
Journal of Time Series Analysis, Vol.33(2), pp.304-311
2012
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.
Details
- Title
- A single series representation of multiple independent ARMA processes
- Authors/Creators
- R.S. Bowden (Author/Creator) - Murdoch UniversityB.R. Clarke (Author/Creator) - Murdoch University
- Publication Details
- Journal of Time Series Analysis, Vol.33(2), pp.304-311
- Publisher
- Blackwell Publishing
- Identifiers
- 991005540173107891
- Copyright
- © 2011 Blackwell Publishing Ltd
- Murdoch Affiliation
- School of Chemical and Mathematical Science
- Language
- English
- Resource Type
- Journal article
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- 6 Social Sciences
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- Web Of Science research areas
- Mathematics, Interdisciplinary Applications
- Statistics & Probability
- ESI research areas
- Mathematics