Asymptotic behaviour of temporal aggregates of time series
From MaRDI portal
Publication:5679559
DOI10.1093/biomet/59.3.525zbMath0263.62051MaRDI QIDQ5679559
Publication date: 1972
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/59.3.525
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES, Maximum likelihood estimation for a nearly random walk model, On the spectrum of randomly aggregate ARMA models, TEMPORAL AGGREGATION IN THE ARIMA PROCESS, Testing a Unit Root Based on Aggregate Time Series, TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR, Linear aggregation of vector autoregressive moving average processes, Persistence under temporal aggregation and differencing, Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter, Memory properties and aggregation of spatial autoregressive models, An eigenvalue approach to the limiting behavior of time series aggregates, Properties of batch means from stationary ARMA time series, A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models, Temporal aggregation of Markov-switching financial return models, Implications of temporal aggregation on the relation between two time series