Title Laiko eilučių agregavimo, deagregavimo uždaviniai ir tolima priklausomybė
Translation of Title Time series aggregation, disaggregation and long memory.
Authors Celov, Dmitrij ; Leipus, Remigijus
DOI 10.15388/LMR.2006.30723
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Is Part of Lietuvos matematikos rinkinys. 2006, t. 46, spec. nr, p. 255-262.. ISSN 0132-2818
Abstract [eng] Large scale aggregation and its inverse, disaggregation, problems are important nin many fields of studies like macroeconomics, astronomy, hydrology and sociology. It was shown in Granger (1980) that a certain aggregation of random coefficient AR(I) models can lead to long memory output. Dacunha-Castelle and Oppenheim (2001) explored the topic further, answering when and if a predefined long memory process could be obtained as the result of aggregation of a specific class of individual processes. In this paper, the disaggregation scheme of Leipus et al. (2006) is briefly discussed. Then disaggregation into AR(I) is analyzed further, resulting in a theorem that helps, under corresponding assumptions, to construct a mixture density for a given aggregated by AR(I) scheme process. Finally the theorem is illustrated by FARUMA mixture density Æ example.
Type Journal article
Language Lithuanian
Publication date 2006
CC license CC license description