The Effect of Aggregation on Prediction in the Autoregressive Model

DOI10.2307/2284454MaRDI QIDQ5674257zbMATH OpenOpenAlexWikidataFDO

Authors Takeshi Amemiya, Roland Y. Wu

Publication date 1972

Full work available at URL https://doi.org/10.2307/2284454

Mathematics Subject Classification ID

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

Cited in

(38)

• Aggregation and systematic sampling of periodic ARMA processes
• Estimating linear representations of nonlinear processes
• Temporal aggregation in a periodically integrated autoregressive process
• A test for spatial and temporal aggregation
• Temporal aggregation and the power of tests for a unit root
• The impact of temporal aggregation on supply chains with ARMA\((1,1)\) demand processes
• Forecasting with temporal hierarchies
• Properties of batch means from stationary ARMA time series
• Inference in time series models using smoothed-clustered standard errors
• Incentive-driven inattention
• Temporal aggregation and systematic sampling for INGARCH processes
• In search of lost time aggregation
• Temporal hierarchies with autocorrelation for load forecasting
• Temporal aggregation of cyclical models with business cycle applications
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Temporal aggregation of random walk processes and implications for economic analysis
• Temporal aggregation of lognormal AR processes
• Supply chain forecasting: theory, practice, their gap and the future
• A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES
• Linear aggregation of vector autoregressive moving average processes
• Prediction of temporally aggregated systems involving both stock and flow variables
• RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES
• On the spectrum of randomly aggregate ARMA models
• The Use of Aggregate Time Series in Testing for Gaussianity
• The effect of temporal aggregation on the estimation accuracy of time series models
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• The use of aggregate time series for testing conditional heteroscedasticity
• The effect of temporal aggregation on the estimation accuracy of ARMA models
• THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
• Testing a Unit Root Based on Aggregate Time Series
• An analogue model of phase-averaging procedures
• Linear regression using both temporally aggregated and temporally disaggregated data
• Testing for Granger causality with mixed frequency data
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• Bayesian spatial and spatiotemporal models based on multiscale factorizations
• Modeling temporally misaligned data across space: the case of total pollen concentration in Toronto
• Time aggregation of mixed causal-noncausal models
• A spectral measure for the information loss of temporal aggregation

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