Temporal aggregation of lognormal AR processes

DOI10.1111/J.1467-9892.2011.00723.XMaRDI QIDQ2851991zbMATH OpenOpenAlexFDO

Authors Esther Salazar, Marco A. R. Ferreira

Publication date 4 October 2013

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00723.x

zbMATH Keywords

autoregressive processestemporal aggregationlognormal distributions\(L^{p}\) normmultiscale time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 1324223 (Why is no real title available?)
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• Intrinsic autoregressions at multiple resolutions
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• Multi-scale and hidden resolution time series models
• Multiscale modeling. A Bayesian perspective
• On the Distribution Function and Moments of Power Sums With Log-Normal Components
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
• Temporal Aggregation of Garch Processes
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• The Effect of Aggregation on Prediction in the Autoregressive Model
• The Use of Aggregate Time Series in Testing for Gaussianity

Cited in

(3)

• Bayesian spatial and spatiotemporal models based on multiscale factorizations
• Bayesian wavelet analysis using nonlocal priors with an application to fMRI analysis
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes

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