The effect of temporal aggregation on the estimation accuracy of ARMA models

DOI10.1080/03610918.2017.1361978OpenAlexW2744688768MaRDI QIDQ5085066

Paulo S. A. Sousa, Paulo Teles

Publication date: 29 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610918.2017.1361978

zbMATH Keywords

ARMA modelstemporal aggregationmean absolute percentage errormean absolute errorMA modelsparameter valuesaggregate time seriesestimation accuracy loss

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
• The Use of Aggregate Time Series in Testing for Gaussianity
• 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
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