Time series aggregation, disaggregation and long memory

Details Time series aggregation, disaggregation and long memory Time series aggregation, disaggregation and long memory

2007-02-27

arxiv.org/abs/math/0702821v1

Lithuanian Mathematical Journal, 47, 4 (2007) 379-393

Mathematics

Statistics Theory

Scientific paper

10.1007/s10986-007-0026-6

We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, "elementary", cases. In particular cases of the mixture densities, the structure (moving average representation) of the aggregated process is investigated.

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