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

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dp00_22.pdf
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2000
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Ocker, Dirk
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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.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
temporal aggregation, differencing, long memory, short memory, antipersistence, stationarity, nonstationarity, fractional ARIMA
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Zitieren
ISO 690BERAN, Jan, Dirk OCKER, 2000. Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models
BibTex
@techreport{Beran2000Tempo-667,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models},
  number={2000/22},
  author={Beran, Jan and Ocker, Dirk}
}
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