A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

DOI10.1016/J.SPL.2007.09.036zbMATH Open1216.62138OpenAlexW2083738554MaRDI QIDQ2483447FDOQ2483447

Authors: Yin-Ting Chan, Wai Sum Chan 

Publication date: 28 April 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.036

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zbMATH Keywords

ARMA modelautocorrelation functiontemporal aggregationMarkov switching modeldata disaggregation

Mathematics Subject Classification ID

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

Cites Work

• Temporal Aggregation of Garch Processes
• Time series analysis. Univariate and multivariate methods.
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal aggregation of volatility models
• Moments of Markov switching models
• Asymptotic behaviour of temporal aggregates of time series
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• The effects of temporal aggregation on tests of linearity of a time series.
• Title not available (Why is that?)
• An eigenvalue approach to the limiting behavior of time series aggregates

Cited In (2)

• Moments of Markov-switching models
• Temporal aggregation of Markov-switching financial return models

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