Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes

DOI10.1111/j.1467-9892.2005.00430.xzbMath1090.62098MaRDI QIDQ5467620

Henghsiu Tsai, Kung-Sik Chan

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00430.x

zbMATH Keywords

long memory; spectral density; autocorrelation; ARFIMA models; asymptotic efficiency of prediction

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

62M15: Inference from stochastic processes and spectral analysis

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• THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
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