Temporal Aggregation of Lognormal AR processes

DOI10.1111/j.1467-9892.2011.00723.xzbMath1273.62221OpenAlexW1927649361MaRDI QIDQ2851991

Esther Salazar, Marco A. R. Ferreira

Publication date: 4 October 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00723.x

zbMATH Keywords

autoregressive processeslognormal distributionstemporal aggregation\(L^{p}\) normmultiscale time series

Mathematics Subject Classification ID

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

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