RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES

DOI10.1111/J.1467-9892.1994.TB00175.XMaRDI QIDQ4299026zbMATH OpenOpenAlexFDO

Authors

Publication date 29 June 1994

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00175.x

zbMATH Keywords

ARMA structureautocovariance generating functionmultivariate autoregressive moving-average processespolesrandom aggregationsampling distributionsecond-order characteristicstime interval aggregation without overlappingunivariate ARMA processeszero-mean second-order stationary processzeros

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• Asymptotic behaviour of temporal aggregates of time series
• Forecasting aggregates of independent ARIMA processes
• scientific article; zbMATH DE number 3244325 (Why is no real title available?)
• Linear aggregation of vector autoregressive moving average processes
• On the study of some functions of multivariate ARMA processes
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• The Effect of Aggregation on Prediction in the Autoregressive Model
• The invertibility of sampled and aggregated ARMA models

Cited in

(9)

• Aggregation and systematic sampling of periodic ARMA processes
• Matrix representations of spectral coefficients of randomly sampled ARMA models
• Random sampling of long-memory stationary processes
• A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES
• Identification of composite (∑+II) arma models by relatively simpler models
• Linear aggregation of vector autoregressive moving average processes
• On the spectrum of randomly aggregate ARMA models
• Spectrum of randomly sampled multivariate \textsl{ARMA} models.
• Some characteristics of the MN-LS aggregated models of MA process

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