Time series aggregation, disaggregation and long memory
Large-scale aggregation and its inverse, disaggregation, problems are important in many fields of studies like macroeconomics, astronomy, hydrology and sociology. It was shown in Granger (1980) that a certain aggregation of random coefficient AR(1) models can lead to long memory output. Dacunha-Cas...
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| 主要な著者: | , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Vilnius University Press
2023-09-01
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| シリーズ: | Lietuvos Matematikos Rinkinys |
| 主題: | |
| オンライン･アクセス: | https://test.zurnalai.vu.lt/LMR/article/view/30723 |
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