Time series aggregation, disaggregation and long memory

Dmitrij Celov (1) , Remigijus Leipus (1) , Anne Philippe (2)

1 Vilnius Institute of Mathematics and Informatics
2 LMJL - Laboratoire de Mathématiques Jean Leray

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.

Mots clés: random coefficient AR(1); long memory; aggregation; disaggregation

Domaines: Statistiques [math.ST]

Dmitrij Celov, Remigijus Leipus, Anne Philippe. Time series aggregation, disaggregation and long memory. Lithuanian Mathematical Journal, 2007, 47 (4), pp.379-393. ⟨10.1007/s10986-007-0026-6⟩. ⟨hal-00133637⟩