RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES

DOI10.1111/j.1467-9892.1994.tb00175.xzbMath0794.62060OpenAlexW1998979007MaRDI QIDQ4299026

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Publication date: 29 June 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00175.x

zbMATH Keywords

zerossecond-order characteristicspolessampling distributionrandom aggregationARMA structureautocovariance generating functionmultivariate autoregressive moving-average processestime interval aggregation without overlappingunivariate ARMA processeszero-mean second-order stationary process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Matrix representations of spectral coefficients of randomly sampled ARMA models ⋮ On the spectrum of randomly aggregate ARMA models ⋮ Random sampling of long-memory stationary processes ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Linear aggregation of vector autoregressive moving average processes
• The invertibility of sampled and aggregated ARMA models
• On the study of some functions of multivariate ARMA processes
• Forecasting aggregates of independent ARIMA processes
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Asymptotic behaviour of temporal aggregates of time series

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