TEMPORAL AGGREGATION IN THE ARIMA PROCESS

DOI10.1111/j.1467-9892.1986.tb00495.xzbMath0614.62115OpenAlexW2016871920MaRDI QIDQ4721462

Daniel O. Stram, William W. S. Wei

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00495.x

zbMATH Keywords

ARIMAtemporal aggregationIMAautoregressive integrated moving averagechange of model form

Mathematics Subject Classification ID

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

Related Items (27)

The impact of temporal aggregation on supply chains with ARMA\((1,1)\) demand processes ⋮ On the spectrum of randomly aggregate ARMA models ⋮ The use of aggregate time series for testing conditional heteroscedasticity ⋮ Effect of outliers on forecasting temporally aggregated flow variables ⋮ A recursive ARIMA-based procedure for disaggregating a time series variable using concurrent data ⋮ An eigenvalue approach to the limiting behavior of time series aggregates ⋮ The effect of temporal aggregation on the estimation accuracy of ARMA models ⋮ Identification and hypothesis testing on ARIMA (p,d,q) models ⋮ Insights into the appropriate level of disaggregation for efficient time series model forecasting ⋮ The use of temporally aggregated data in modeling and testing a variance change in a time series ⋮ Asymptotic behavior of temporal aggregates in the frequency domain ⋮ The effect of temporal aggregation on the estimation accuracy of time series models ⋮ A note on the asymptotic distribution of the maxima in disaggregated time-series models. ⋮ A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models ⋮ Random sampling of long-memory stationary processes ⋮ An analogue model of phase-averaging procedures ⋮ Testing a Unit Root Based on Aggregate Time Series ⋮ Estimation of fractional integration under temporal aggregation ⋮ Temporal aggregation of Markov-switching financial return models ⋮ A new state-space methodology to disaggregate multivariate time series ⋮ Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter ⋮ A spectral measure for the information loss of temporal aggregation ⋮ Temporal Aggregation of Lognormal AR processes ⋮ The effects of temporal aggregation on tests of linearity of a time series. ⋮ The risk return relationship: evidence from index returns and realised variances ⋮ Temporal disaggregation of stationary bivariate time series ⋮ Temporal aggregation of cyclical models with business cycle applications

Cites Work

• 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
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