INITIALIZATION FOR GENERATING SINGLE-SITE AND MULTISITE LOW-ORDER PERIODIC AUTOREGRESSIVE AND MOVING AVERAGE PROCESSES

Single-site and multisite periodic autoregressive and moving average ( PARMA) processes have been suggested for modeling and simulation of hy drologic processes. Generation of synthetic samples based on such mode ls requires knowledge of the initial conditions, i.e., the values of t he process at times prior to t = 1. In this paper an initialization pr ocedure for generating univariate and multivariate PAR (1), PAR (2), a nd PARMA (1, 1) processes is described. The procedure is based on gene rating the initial values of the process in such a way that the varian ce-covariance structure of the process is preserved. The initializatio n procedure introduced herein is exact and easy to use. Examples are i ncluded to explain the applicability of the proposed approach.