Asymptotic behavior of temporal aggregates in the frequency domain

DOI10.1515/jtse-2012-0029zbMath1499.62304OpenAlexW2132875403MaRDI QIDQ1695556

Henghsiu Tsai, Uwe Hassler

Publication date: 7 February 2018

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

Full work available at URL: https://doi.org/10.1515/jtse-2012-0029

zbMATH Keywords

long memorydifference stationaritycumulation of time seriesnormalized spectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

The use of aggregate time series for testing conditional heteroscedasticity ⋮ Persistence under temporal aggregation and differencing ⋮ Effect of temporal aggregation on multiple time series in the frequency domain

Cites Work

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• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Asymptotic behaviour of temporal aggregates of time series

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