From short to long memory: aggregation and estimation

DOI10.1016/J.CSDA.2009.05.016MaRDI QIDQ2445699zbMATH OpenOpenAlexFDO

Authors Jan Beran, Martin Schützner, Sucharita Ghosh

Publication date 14 April 2014

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2009.05.016

Mathematics Subject Classification ID

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

Recommendations

• Aggregation and long memory: recent developments
• Variance-type estimation of long memory
• Asymptotic behavior of weakly dependent aggregated processes
• Orthogonal series density estimation in a disaggregation scheme
• Effect of aggregation on estimators in AR(1) sequence

Cites work

• Aggregation and memory of models of changing volatility
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Contemporaneous aggregation of GARCH processes
• Contemporaneous aggregation of linear dynamic models in large economies
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3223333 (Why is no real title available?)
• Long memory relationships and the aggregation of dynamic models
• Nonparametric trend estimation in replicated time series
• On the bias of the least squares estimator for the first order autoregressive process
• Orthogonal series density estimation in a disaggregation scheme
• Stability of random coefficient ARCH models and aggregation schemes
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• The polynomial aggregated AR(1) model*

Cited in

(20)

• Variance-type estimation of long memory
• Asymptotic behavior of weakly dependent aggregated processes
• Sample covariances of random-coefficient AR(1) panel model
• An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
• Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
• Long memory, fractional integration, and cross-sectional aggregation
• Orthogonal series density estimation in a disaggregation scheme
• Limit theorems for aggregated linear processes
• Asymmetric group sequential designs under fractional Brownian motion
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
• Aggregation of Doubly Stochastic Interactive Gaussian Processes and Toeplitz forms of U-Statistics
• A new model for explaining long-range correlations in human time interval production
• Estimating aggregate autoregressive processes when only macro data are available
• Estimating long memory in panel random-coefficient AR(1) data
• Stochastically curtailed tests under fractional Brownian motion
• Quasi-maximum likelihood estimation of long-memory limiting aggregate processes
• Effect of aggregation on estimators in AR(1) sequence
• A multivariate stochastic volatility model with generalized factor dynamics

Describes a project that uses

Uses Software

• longmemo

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