A spectral measure for the information loss of temporal aggregation
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Publication:777828
DOI10.1007/s42519-020-00099-3zbMath1443.62297OpenAlexW3032219616MaRDI QIDQ777828
Publication date: 7 July 2020
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42519-020-00099-3
Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15) White noise theory (60H40) Statistical aspects of information-theoretic topics (62B10) Regularization by noise (60H50)
Related Items (2)
The use of aggregate time series for testing conditional heteroscedasticity ⋮ The use of temporally aggregated data in modeling and testing a variance change in a time series
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