An eigenvalue approach to the limiting behavior of time series aggregates

DOI10.1007/BF00053958zbMath0668.62066MaRDI QIDQ1118308

Daniel O. Stram, William W. S. Wei

Publication date: 1988

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

eigenvectorssystematic samplingaggregation operatorlimiting behaviorARIMA processadmissible autocorrelationslargest eigenvalue of the aggregation transformationtime series aggregation

Mathematics Subject Classification ID

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

Related Items (1)

A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

Cites Work

• Unnamed Item
• Effect of systematic sampling on arima models
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• Asymptotic behaviour of temporal aggregates of time series

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