Temporal aggregation in a periodically integrated autoregressive process
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Publication:1129424
DOI10.1016/0167-7152(95)00225-1zbMath0902.62106MaRDI QIDQ1129424
H. Peter Boswijk, Philip Hans Franses
Publication date: 14 December 1998
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://repub.eur.nl/pub/2063
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
- A multivariate approach to modeling univariate seasonal time series
- The implications of periodically varying coefficients for seasonal time- series processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
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- The Effect of Aggregation on Prediction in the Autoregressive Model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models