CONTEMPORANEOUS AUTOREGRESSIVE-MOVING AVERAGE (CARMA) MODELING IN WATER RESOURCES1

ABSTRACT: The Contemporaneous Autoregressive-Moving Average (CARMA) model is a simple and efficient model that can be used to fit many multivariate hydrological time series. For certain types of multistation river flow systems, the CARMA model is naturally obtained when the physical restrictions of the system or the characteristics of the data are taken in consideration during the formulation of the model. It is shown how the CARMA model can optimally be used to handle multiple time series where the number of observations in each series may be different. Adequate model building techniques, as well as computational and statistical efficient algorithms to estimate the parameters of the model, are given. The methodologies and applications of the CARMA model are illustrated with three examples. It is also shown how the full multivariate ARMA model may lead to losses in efficient of the estimators when the CARMA model is adequate.