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| HAL: hal-00133637, version 1 |
| arXiv: math.ST/0702821 |
| DOI: 10.1007/s10986-007-0026-6 |
| Detailed view |  Export this paper |
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| Lithuanian Mathematical Journal, 47, 4 (2007) 379-393 |
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| Time series aggregation, disaggregation and long memory |
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| Dmitrij Celov 1Remigijus Leipus 1 |
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| (2007-10) |
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| We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, "elementary", cases. In particular cases of the mixture densities, the structure (moving average representation) of the aggregated process is investigated. |
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| 1: | Vilnius Institute of Mathematics and Informatics |
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Vilnius University |
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| 2: | Laboratoire de Mathématiques Jean Leray (LMJL) |
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CNRS : UMR6629 – Université de Nantes – École Centrale de Nantes |
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| Subject | : | Mathematics/Statistics |
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| random coefficient AR(1) – long memory – aggregation – disaggregation |
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| hal-00133637, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00133637 | |
| oai:hal.archives-ouvertes.fr:hal-00133637 | |
| From: Anne Philippe | |
| Submitted on: Tuesday, 27 February 2007 11:08:12 | |
| Updated on: Tuesday, 20 October 2009 18:21:42 | |
