Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Effects of Temporal Aggregation on Hannan-Rissanen Procedure

  • Shin, Dong-Wan (Department of Applied Statistics, University of Suwon, Suwon 445-743) ;
  • Lee, Jong-Hyup (Department of Statistics, Duksung Women's University, Seoul 132-714)
  • Published : 1994.12.01
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Abstract

Effects of temporal aggregation on estimation for ARMA models are studied by investigating the Hannan & Rissanen (1982)'s procedure. The temporal aggregation of autoregressive process has a representation of an autoregressive moving average. The characteristic polynomials associated with autoregressive part and moving average part tend to have roots close to zero or almost identical. This caused a numerical problem in the Hannan & Rissanen procedure for identifying and estimating the temporally aggregated autoregressive model. A Monte-Carlo simulation is conducted to show the effects of temporal aggregation in predicting one period ahead realization.

Keywords

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