The invertibility of sampled and aggregated ARMA models

DOI10.1007/BF01915182zbMath0551.62064OpenAlexW2003202676MaRDI QIDQ800675

Hannu Niemi

Publication date: 1984

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/175929

zbMATH Keywords

invertibilitynecessary and sufficient conditionsautoregressive moving averageaggregated ARMA modelssampled ARMA processes

Mathematics Subject Classification ID

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

Related Items (5)

On the spectrum of randomly aggregate ARMA models ⋮ RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES ⋮ Random sampling of long-memory stationary processes ⋮ ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Cites Work

• Discrete autoregressive schemes with varying time-intervals
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
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