Time‐scale transformations of discrete time processes

DOI10.1111/J.1467-9892.2004.00383.XMaRDI QIDQ4677046zbMATH OpenOpenAlexFDO

Authors Òscar Jordà, Massimiliano Marcellino

Publication date 20 May 2005

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

Full work available at URL http://repec.dss.ucdavis.edu/rails/active_storage/blobs/eyJfcmFpbHMiOnsibWVzc2FnZSI6IkJBaHBSZz09IiwiZXhwIjpudWxsLCJwdXIiOiJibG9iX2lkIn19--3d4d072bf6509b7b8fbbbbf46586f0ffdd194d50/03-2.pdf, http://hdl.handle.net/10419/23202

zbMATH Keywords

discrete time processesirregularly spaced datatime aggregationtime-scale transformations

Mathematics Subject Classification ID

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

Review text

This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. In this case the aggregate-time processes have time-varying parameters and non-spherical disturbances even when these characteristics are absent in original-time. These properties are important considerations in terms of forecasting, estimation and testing since they explain in which directions aggregate models are likely to be misspecified and in which way this misspecification can be corrected. The authors derive a representation of the aggregated data-generating process and derive maximum likelihood estimators for its parameters. The resulting models improve the estimation of structural parameters and provide more accurate forecasts as illustrated with an example on inventory decisions.

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Cites work

• scientific article; zbMATH DE number 3436435 (Why is no real title available?)
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• SAMPLING DYNAMICAL SYSTEMS
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models

Cited in

(11)

• Temporal aggregation of cyclical models with business cycle applications
• On Temporal Aggregation of Linear Dynamic Models
• Prediction of temporally aggregated systems involving both stock and flow variables
• Temporal aggregation in structural VAR models
• A note on the forecast performance of temporal aggregation
• Structural time series models and aggregation: some analytical results
• Impacts of time aggregation on beta value and \(R^2\) estimations under additive and multiplicative assumptions: theoretical results and empirical evidence
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Macro-financial dynamics: theories, empirical methods, and time scales
• Analysis of local convergence of discrete nonlinear dynamical systems at non-hyperbolic points
• Change-Point Detection in Time Series Using Mixed Integer Programming

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