A single series representation of multiple independent ARMA processes

作者：Bowden Ross S; Clarke Brenton R^*

来源：Journal of Time Series Analysis, 2012, 33(2): 304-311.

DOI：10.1111/j.1467-9892.2011.00766.x

• Univariate ARMA
• interleaving
• simultaneous estimation
• multiple time series

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.

• 出版日期2012-3