Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In the case of integrated processes, the results extend Tiao's [15] to the fractional case.

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Year of publication:	2000
Authors:	Beran, Jan ; Ocker, Dirk
Publisher:	Konstanz : University of Konstanz, Center of Finance and Econometrics (CoFE)
Subject:	Aggregation \| Theorie \| ARMA-Modell

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Series:	CoFE Discussion Paper ; 00/22
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	870029487 [GVK] hdl:10419/85158 [Handle] RePEc:zbw:cofedp:0022 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324023