The effect of temporal aggregation on the estimation accuracy of ARMA models

DOI10.1080/03610918.2017.1361978MaRDI QIDQ5085066zbMATH OpenOpenAlexFDO

Authors Paulo S. A. Sousa, Paulo Teles

Publication date 29 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1361978

zbMATH Keywords

aggregate time seriesARMA modelsestimation accuracy lossMA modelsmean absolute errormean absolute percentage errorparameter valuestemporal aggregation

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Asymptotic behaviour of temporal aggregates of time series
• scientific article; zbMATH DE number 735008 (Why is no real title available?)
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
• The Effect of Aggregation on Prediction in the Autoregressive Model
• The Use of Aggregate Time Series in Testing for Gaussianity
• Time series analysis. Univariate and multivariate methods.

Cited in

(1)

• The use of aggregate time series for testing conditional heteroscedasticity

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