Structural time series models and aggregation: some analytical results

DOI10.1111/J.1467-9892.2010.00701.XzbMATH Open1290.62087OpenAlexW1999027296MaRDI QIDQ4979112FDOQ4979112

Authors: Giacomo Sbrana 

Publication date: 16 June 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00701.x

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zbMATH Keywords

aggregationARIMAlocal linear trendunobserved components processes

Mathematics Subject Classification ID

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

Cites Work

• Aggregation and Disaggregation of Structural Time Series Models

Cited In (5)

• Temporal aggregation of cyclical models with business cycle applications
• On aggregation of strongly dependent time series
• Cross-related structural time series models
• A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models
• The effect of temporal aggregation on the estimation accuracy of time series models

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