Aggregation and long memory: recent developments

MaRDI QIDQ4991218zbMATH OpenFDO

Authors Remigijus Leipus, Anne Philippe, Donata Puplinskaitė, Donatas Surgailis

Publication date 2 June 2021

Full work available at URL https://arxiv.org/abs/1306.3301

zbMATH Keywords

anisotropic long memoryautoregressive random fieldscontemporaneous aggregationdisaggregationinfinite varianceintermediate processlong memorymixed moving averagerandom-coefficient AR(1)scaling limit

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random fields; image analysis (62M40)

Abstract: It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present time, aggregation has become one of the main tools for modelling of long memory processes. We review recent work on contemporaneous aggregation of random-coefficient AR(1) and related models, with particular focus on various long memory properties of the aggregated process.

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(20)

• Aggregation in ARCH models
• Inference of seasonal long-memory aggregate time series
• Asymptotic behavior of weakly dependent aggregated processes
• Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.
• Sample covariances of random-coefficient AR(1) panel model
• Spectral properties of temporally aggregated long memory processes
• Long memory, fractional integration, and cross-sectional aggregation
• Disaggregation of long memory processes on \(\mathcal C^\infty\) class
• From short to long memory: aggregation and estimation
• Generating schemes for long memory processes: regimes, aggregation and linearity
• Aggregation and memory of models of changing volatility
• Aggregation of Doubly Stochastic Interactive Gaussian Processes and Toeplitz forms of U-Statistics
• Temporal Aggregation and Bandwidth selection in estimating long memory
• Why Aggregate Long Memory Time Series?
• Aggregation of the random coefficient GLARCH(1,1) process
• Inference of bivariate long-memory aggregate time series
• Long memory via networking
• Aggregation of the generalized fractional processes
• Extended fractional Gaussian noise and simple ARFIMA approximations
• Time series properties of aggregated AR(2) processes

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