Linear aggregation of vector autoregressive moving average processes
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference6 articles.
1. The effect of aggregation on prediction in the autoregressive model;Amemiya;Journal of the American Statistical Association,1972
2. Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models;Brewer;Journal of Econometrics,1973
3. Asymptotic behaviour of temporal aggregates of time series;Tiao;Biometrika,1972
4. Effects of temporal aggregation on the dynamic relationship of two time series variables;Tiao;Biometrika,1976
5. Some consequences of temporal aggregation in seasonal time series models;Wei,1978
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