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

DOI10.1016/J.SPL.2007.09.036MaRDI QIDQ2483447zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ARMA modelautocorrelation functiontemporal aggregationMarkov switching modeldata disaggregation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4159921 (Why is no real title available?)
• An eigenvalue approach to the limiting behavior of time series aggregates
• Asymptotic behaviour of temporal aggregates of time series
• Moments of Markov switching models
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Temporal Aggregation of Garch Processes
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Temporal aggregation of volatility models
• The effects of temporal aggregation on tests of linearity of a time series.
• Time series analysis. Univariate and multivariate methods.

Cited in

(2)

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

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