Journal article
Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes
Journal of time series analysis, Vol.26(4), pp.613-624
First Version received December 2003
07/2005
DOI: 10.1111/j.1467-9892.2005.00430.x
Abstract
We study the autocorrelation structure and the spectral density function of aggregates from a discrete-time process. The underlying discrete-time process is assumed to be a stationary AutoRegressive Fractionally Integrated Moving-Average (ARFIMA) process, after suitable number of differencing if necessary. We derive closed-form expressions for the limiting autocorrelation function and the normalized spectral density of the aggregates, as the extent of aggregation increases to infinity. These results are then used to assess the loss of forecasting efficiency due to aggregation. © 2005 Blackwell Publishing Ltd.
Details
- Title: Subtitle
- Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes
- Creators
- Henghsiu Tsai - University of IowaK. S Chan - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of time series analysis, Vol.26(4), pp.613-624
- Edition
- First Version received December 2003
- DOI
- 10.1111/j.1467-9892.2005.00430.x
- ISSN
- 0143-9782
- eISSN
- 1467-9892
- Publisher
- Blackwell Publishing Ltd
- Number of pages
- 12
- Language
- English
- Date published
- 07/2005
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257632002771
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