Aggregation and long memory: recent developments
Statistics Theory
2013-06-17 v1 Statistics Theory
Abstract
It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present time, aggregation has become one of the main tools for modelling of long memory processes. We review recent work on contemporaneous aggregation of random-coefficient AR(1) and related models, with particular focus on various long memory properties of the aggregated process.
Keywords
Cite
@article{arxiv.1306.3301,
title = {Aggregation and long memory: recent developments},
author = {Remigijus Leipus and Anne Philippe and Donata Puplinskaite and Donatas Surgailis},
journal= {arXiv preprint arXiv:1306.3301},
year = {2013}
}