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

• Type: Article in International Scientific Journal
• Date: 2017

Authors

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

Journal

Title: Communications in Statistics Part B: Simulation and Computation

Vol. 46

Pages: 6738-6759

ISSN: 0361-0918

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 7 Citations

Scopus - 7 Citations

Other information

Authenticus ID: 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 22