A spectral measure for the information loss of temporal aggregation
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Cites work
- Analysis of financial time series
- Asymptotic behaviour of temporal aggregates of time series
- Effect of temporal aggregation on the dynamic relationship of two time series variables
- Goodness of fit tests for spectral distributions
- Linear aggregation of vector autoregressive moving average processes
- Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
- TEMPORAL AGGREGATION IN THE ARIMA PROCESS
- Temporal Aggregation of Garch Processes
- Temporal aggregation and spurious instantaneous causality in multiple time series models
- Temporal aggregation of multivariate GARCH processes
- Testing a Unit Root Based on Aggregate Time Series
- The Effect of Aggregation on Prediction in the Autoregressive Model
- The Use of Aggregate Time Series in Testing for Gaussianity
- The effect of aggregation on nonlinearity
- The effect of temporal aggregation on parameter estimation in distributed lag model
- The effects of temporal aggregation on tests of linearity of a time series.
- The use of temporally aggregated data on detecting a mean change of a time series process
- Time series analysis. Univariate and multivariate methods.
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