[R-SIG-Finance] time series question

markleeds at verizon.net markleeds at verizon.net
Sat May 23 03:13:25 CEST 2009

Hi everyone: Normally, if one has a single realization of a time series and one wants to estimate 
say an ARMA(p,q) , where p and q are known ( for simplicity )  then one estimates it and that's that. 

But, suppose that one has more than one realization  of the time series ( assuming each series is the same length) and yet still wants to estimate the "best" arma(p,q) , over all the realizations,  again where p and q are known. 

I'm somewhat familiar with the literature but I don't know how to do this nor do I know of a book
that talks about this problem.  The only thing I could think of was casting the arma(p,q) in its equivalent state space form and then possibly using the dlm package ?. Is this the only way to do this ? I was hoping that there was a simpler way ? or if anyone knows of a relevant paper or book, that would
be appreciated.

also, if assuming that p=1 and q=1 makes this question simpler, i'm willing to make that assumption also. thanks.

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