Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-5300 |
| Author: | Beran, Jan; Ocker, Dirk |
| Year of publication: | 2000 |
| Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2000/22 |
| Summary: |
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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| Subject (DDC): | 510 Mathematics |
| Keywords: | temporal aggregation, differencing, long memory, short memory, antipersistence, stationarity, nonstationarity, fractional ARIMA |
| Link to License: | In Copyright |
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BERAN, Jan, Dirk OCKER, 2000. Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
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