The effect of temporal aggregation on the estimation accuracy of time series models

DOI10.1080/03610918.2016.1210169zbMath1383.37067OpenAlexW2513962272MaRDI QIDQ4607333

Paulo S. A. Sousa, Paulo Teles

Publication date: 13 March 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://repositorio.inesctec.pt/handle/123456789/7119

zbMATH Keywords

temporal aggregationestimation accuracyaggregate time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Related Items (1)

The use of aggregate time series for testing conditional heteroscedasticity

Cites Work

• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Asymptotic behaviour of temporal aggregates of time series
• Unnamed Item

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