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

disaggregationlong memoryinfinite variancecontemporaneous aggregationscaling limitautoregressive random fieldsmixed moving averageanisotropic long memoryintermediate processrandom-coefficient AR(1)

Mathematics Subject Classification ID

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

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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Cited in

(20)

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

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