CONTEMPORANEOUS AGGREGATION OF TRIANGULAR ARRAY OF RANDOM-COEFFICIENT AR(1) PROCESSES

DOI10.1111/jtsa.12045zbMath1301.62092arXiv1302.4815OpenAlexW2147466579MaRDI QIDQ2933188

Donatas Surgailis, Anne Philippe, Donata Puplinskaitė

Publication date: 10 December 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.4815

zbMATH Keywords

aggregationdisaggregationlong memoryinfinitely divisible distributionpartial sums processtriangular arrayrandom-coefficient AR(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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