A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

In this paper the effects of temporal aggregation on a class of Markov switching models known as MSG models, are investigated. Mathematical formulae are derived for the first and second moments of an aggregated MSG model.

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Year of publication:	2008
Authors:	Chan, Wai-Sum ; Chan, Yin-Ting
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 6, p. 728-735
Publisher:	Elsevier
Keywords:	ARMA model Autocorrelation function Data disaggregation Markov switching model Temporal aggregation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319139