CONTEMPORANEOUS AGGREGATION OF TRIANGULAR ARRAY OF RANDOM-COEFFICIENT AR(1) PROCESSES
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Publication:2933188
DOI10.1111/jtsa.12045zbMath1301.62092arXiv1302.4815MaRDI QIDQ2933188
Donatas Surgailis, Anne Philippe, Donata Puplinskaitė
Publication date: 10 December 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.4815
aggregation; disaggregation; long memory; infinitely divisible distribution; partial sums process; triangular array; random-coefficient AR(1) process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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