Effect of temporal aggregation on multiple time series in the frequency domain

DOI10.1111/jtsa.12032zbMath1282.62196OpenAlexW1567176882MaRDI QIDQ5397973

Uwe Hassler

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/jtsa.12032

zbMATH Keywords

phasedifference stationarityaliasingcoherencycumulatingskip samplinglow-frequency regression coefficientmixed aggregation

Mathematics Subject Classification ID

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

Related Items

The use of aggregate time series for testing conditional heteroscedasticity

Cites Work

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• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes