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The effect of temporal aggregation on the estimation accuracy of ARMA models

Title
The effect of temporal aggregation on the estimation accuracy of ARMA models
Type
Article in International Scientific Journal
Year
2018
Authors
Journal
Vol. 47
Pages: 2865-2885
ISSN: 0361-0918
Publisher: Taylor & Francis
Other information
Authenticus ID: P-00N-54R
Abstract (EN): Autoregressive Moving Average (ARMA) time series model fitting is a procedure often based on aggregate data, where parameter estimation plays a key role. Therefore, we analyze the effect of temporal aggregation on the accuracy of parameter estimation of mixed ARMA and MA models. We derive the expressions required to compute the parameter values of the aggregate models as functions of the basic model parameters in order to compare their estimation accuracy. To this end, a simulation experiment shows that aggregation causes a severe accuracy loss that increases with the order of aggregation, leading to poor accuracy.
Language: English
Type (Professor's evaluation): Scientific
No. of pages: 21
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