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Time‐scale transformations of discrete time processes
Author(s) -
Jordà Òscar,
Marcellino Massimiliano
Publication year - 2004
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2004.00383.x
Subject(s) - aggregate (composite) , mathematics , variable (mathematics) , scale (ratio) , interval (graph theory) , discrete time and continuous time , econometrics , data aggregator , process (computing) , statistics , computer science , mathematical analysis , materials science , physics , wireless sensor network , composite material , operating system , computer network , quantum mechanics , combinatorics
Abstract. This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well‐known results on fixed‐interval aggregation, such as when monthly data are aggregated into quarters. A variable aggregation frequency implies that the aggregated process will exhibit time‐varying parameters and non‐spherical disturbances, even when these characteristics are absent from the original model. Consequently, we develop methods for specification and estimation of the aggregate models and show with an example how these methods perform in practice.