Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes

DOI10.1016/j.spa.2013.10.004zbMath1400.62194arXiv1310.5257MaRDI QIDQ2434752

Vytautė Pilipauskaitė, Donatas Surgailis

Publication date: 7 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.5257

zbMATH Keywords

aggregation; long memory; intermediate scaling; random-coefficient AR(1) process; asymptotic self-similarity; Poisson stochastic integral

Mathematics Subject Classification ID

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

60F05: Central limit and other weak theorems

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Uses Software

• longmemo

Cites Work

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