Linear aggregation of vector autoregressive moving average processes
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Publication:374915
DOI10.1016/0165-1765(84)90009-0zbMath1273.62215MaRDI QIDQ374915
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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
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- 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