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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2023-09-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.zurnalai.vu.lt/LMR/article/view/30723 |