Effect of temporal aggregation on multiple time series in the frequency domain

DOI10.1111/JTSA.12032MaRDI QIDQ5397973zbMATH OpenOpenAlexFDO

Authors Uwe Hassler

Publication date 25 February 2014

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

Full work available at URL https://doi.org/10.1111/jtsa.12032

zbMATH Keywords

phasealiasingcoherencycumulatingskip samplingdifference stationaritylow-frequency regression coefficientmixed aggregation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Spectral properties of temporally aggregated long memory processes
• Asymptotic behavior of temporal aggregates in the frequency domain
• A spectral measure for the information loss of temporal aggregation
• Estimation of fractional integration under temporal aggregation
• Persistence under temporal aggregation and differencing

Cites work

• Aggregation over Time in Distributed Lag Models
• Asymptotic behavior of temporal aggregates in the frequency domain
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• Estimation of fractional integration under temporal aggregation
• Fourier analysis of time series. An introduction.
• Minimax Adaptive Spectral Estimation From an Ensemble of Signals
• Temporal Aggregation and Bandwidth selection in estimating long memory
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Understanding spurious regressions in econometrics

Cited in

(6)

• Impacts of time aggregation on beta value and \(R^2\) estimations under additive and multiplicative assumptions: theoretical results and empirical evidence
• A spectral measure for the information loss of temporal aggregation
• Temporal aggregation in first order cointegrated vector autoregressive models
• The use of aggregate time series for testing conditional heteroscedasticity
• Asymptotic behavior of temporal aggregates in the frequency domain
• Persistence under temporal aggregation and differencing

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