Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
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| Publikationstyp: | Working Paper/Technical Report |
| URI (zitierfähiger Link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-5300 |
| Autor/innen: | Beran, Jan; Ocker, Dirk |
| Erscheinungsjahr: | 2000 |
| Schriftenreihe: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2000/22 |
| Zusammenfassung: |
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.
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| Fachgebiet (DDC): | 510 Mathematik |
| Schlagwörter: | temporal aggregation, differencing, long memory, short memory, antipersistence, stationarity, nonstationarity, fractional ARIMA |
| Link zur Lizenz: | Nutzungsbedingungen |
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BERAN, Jan, Dirk OCKER, 2000. Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
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Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)
| dp00_22.pdf | 60 |
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