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

• Tipo: Artigo em Revista Científica Internacional
• Data: 2018

Autores

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

Revista

Título: Communications in Statistics Part B: Simulation and Computation

Vol. 47

Páginas: 2865-2885

ISSN: 0361-0918

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 3 Citações

Outras Informações

ID Authenticus: P-00N-54R

DOI: 10.1080/03610918.2017.1361978

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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 21