Multivariate contemporaneous ARMA model with hydrological applications
type: Item
instance of: scholarly article
title: Multivariate contemporaneous ARMA model with hydrological applications
zbMATH Open document ID: 0658.76006
DOI: 10.1007/BF01543810
published in: Stochastic Hydrology and Hydraulics
publication date: 1987-01-01T00:00:00Z
review text: In order to allow contemporaneous autoregressive moving average models (CARMA) to be properly applied to hydrological time series, important statistical properties of the CARMA family of models are developed. For calibrating the model parameters, efficient joint estimation procedures are investigated and compared to a set of univariate estimation procedures. It is shown that joint estimation procedures improve the efficiency of the autoregressive and moving average parameter estimates, but no improvements are expected on the estimation of the mean vector and the variance covariance matrix of the model. The effects of the different estimation procedures on the asymptotic prediction error are also considered. Finally, hydrological applications demonstrate the usefulness of the CARMA models in the field of water resources.
Mathematics Subject Classification ID: 76A99
Mathematics Subject Classification ID: 76M99
Mathematics Subject Classification ID: 86A05
zbMATH DE Number: 4076794
zbMATH Keywords: maximum likelihood estimation
zbMATH Keywords: multivariate modelling
zbMATH Keywords: stochastic hydrology
zbMATH Keywords: time series analysis
zbMATH Keywords: contemporaneous autoregressive moving average models
author: Franklin Camacho
author: A. Ian McLeod
author: Keith William Hipel
describes a project that uses: AS 191
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4076794