PERIODIC AUTOREGRESSIVE-MOVING AVERAGE (PARMA) MODELING WITH APPLICATIONS TO WATER RESOURCES.
Water Resources Bulletin
By: A. V. Vecchia
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Abstract
Results involving correlation properties and parameter estimation for autogressive-moving average models with periodic parameters are presented. A multivariate representation of the PARMA model is used to derive parameter space restrictions and difference equations for the periodic autocorrelations. Close approximation to the likelihood function for Gaussian PARMA processes results in efficient maximum-likelihood estimation procedures. Terms in the Fourier expansion of the parameters are sequentially included, and a selection criterion is given for determining the optimal number of harmonics to be included. Application of the techniques is demonstrated through analysis of a monthly streamflow time series.
Suggested Citation
Vecchia, A.V., 1985, PERIODIC AUTOREGRESSIVE-MOVING AVERAGE (PARMA) MODELING WITH APPLICATIONS TO WATER RESOURCES.: Water Resources Bulletin, v. 21, no. 5, p. 721-730.
| Publication type | Article |
|---|---|
| Publication Subtype | Journal Article |
| Title | PERIODIC AUTOREGRESSIVE-MOVING AVERAGE (PARMA) MODELING WITH APPLICATIONS TO WATER RESOURCES. |
| Series title | Water Resources Bulletin |
| Volume | 21 |
| Issue | 5 |
| Year Published | 1985 |
| Language | English |
| Larger Work Type | Article |
| Larger Work Subtype | Journal Article |
| Larger Work Title | Water Resources Bulletin |
| First page | 721 |
| Last page | 730 |