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

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.
Fachgebiet (DDC): 510 Mathematik
Schlagwörter: temporal aggregation, differencing, long memory, short memory, antipersistence, stationarity, nonstationarity, fractional ARIMA
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BERAN, Jan, Dirk OCKER, 2000. Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

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