Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Beran, Jan; Ocker, Dirk

Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Files

dp00_22.pdf(479.96 KB)

Date

2000

Authors

Beran, Jan

Ocker, Dirk

Series

CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2000/22

Publication type

Working Paper/Technical Report

Abstract

We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In the case of integrated processes, the results extend Tiao's [15] to the fractional case.

Subject (DDC)

510 Mathematics

Keywords

temporal aggregation,differencing,long memory,short memory,antipersistence,stationarity,nonstationarity,fractional ARIMA

Cite This

ISO 690

BERAN, Jan, Dirk OCKER, 2000. Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

BibTex

@techreport{Beran2000Tempo-667,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models},
  number={2000/22},
  author={Beran, Jan and Ocker, Dirk}
}

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