A spectral measure for the information loss of temporal aggregation

DOI10.1007/S42519-020-00099-3MaRDI QIDQ777828zbMATH OpenOpenAlexFDO

Authors Bu Hyoung Lee, Junyong Park

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

zbMATH Keywords

spectral measurewhite noisetemporal aggregationinformation lossCRSP log returnsmarginal aggregation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15) White noise theory (60H40) Regularization by noise (60H50)

Recommendations

• Effect of temporal aggregation on multiple time series in the frequency domain
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• TEMPORAL AGGREGATION IN THE ARIMA PROCESS

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.

Cited in

(3)

• The use of temporally aggregated data in modeling and testing a variance change in a time series
• The use of aggregate time series for testing conditional heteroscedasticity
• Effect of temporal aggregation on multiple time series in the frequency domain

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