The effect of temporal aggregation on the estimation accuracy of time series models

• Tipo: Artigo em Revista Científica Internacional
• Data: 2017

Autores

Paulo Teles (Autor) FEP; Sousa, PSA (Autor) FEP

Revista

Título: Communications in Statistics Part B: Simulation and Computation

Vol. 46

Páginas: 6738-6759

ISSN: 0361-0918

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 7 Citações

Scopus - 7 Citações

Outras Informações

ID Authenticus: P-00N-B4E

DOI: 10.1080/03610918.2016.1210169

Abstract (EN): In time series analysis, Autoregressive Moving Average (ARMA) models play a central role. Because of the importance of parameter estimation in ARMA modeling and since it is based on aggregate time series so often, we analyze the effect of temporal aggregation on estimation accuracy. We derive the relationships between the aggregate and the basic parameters and compute the actual values of the former from those of the latter in order to measure and compare their estimation accuracy. We run a simulation experiment that shows that aggregation seriously worsens estimation accuracy and that the impact increases with the order of aggregation.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 22