On the spectrum of randomly aggregate ARMA models

DOI10.1081/SAP-120002424zbMath0992.62090OpenAlexW2062014100MaRDI QIDQ4542847

Amina Kadi

Publication date: 20 September 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120002424

zbMATH Keywords

zerospolesrandom aggregationautoregressive moving-average modelscovariance generating function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Unnamed Item
• Linear aggregation of vector autoregressive moving average processes
• The invertibility of sampled and aggregated ARMA models
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Temporal Disaggregation of Time Series: An ARIMA-Based Approach
• Modelling and Forecasting Linear Combinations of Time Series
• RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES
• Spectral analysis of aggregates and products of time series construed of variable failure rates
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• A METHODOLOGICAL NOTE ON THE DISAGGREGATION OF TIME SERIES TOTALS
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Asymptotic behaviour of temporal aggregates of time series
• Alias-Free Sampling of Random Noise

This page was built for publication: On the spectrum of randomly aggregate ARMA models