Linear aggregation of vector autoregressive moving average processes

DOI10.1016/0165-1765(84)90009-0zbMath1273.62215MaRDI QIDQ374915

Helmut Lütkepohl

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(84)90009-0

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

Related Items

RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES, On the spectrum of randomly aggregate ARMA models, The use of aggregate time series for testing conditional heteroscedasticity, A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models, The use of temporally aggregated data in modeling and testing a variance change in a time series, Comparing aggregate and disaggregate forecasts of first order moving average models, A spectral measure for the information loss of temporal aggregation

Cites Work

• Unnamed Item
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Asymptotic behaviour of temporal aggregates of time series