Casals, José. (contributor); Jerez, Miguel (contributor); … - European Commission / Statistical Office of the … - 2005 - 2005 edition
This paper discusses how to model and forecast a vector of time series sampled at different frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic...
