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Disaggregation of Long Memory Processes on $mathcal{C}^{infty}$ Class
Aggregation disaggregation longmemory processes mixtures
2009/4/22
We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential ...
Disaggregation of Long Memory Processes on $mathcal{C}^{infty}$ Class
long memory processes short memory processes Class
2009/4/1
We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities controlled by exponential ...
Time series aggregation，disaggregation and long memory
random coefficient AR(1) long memory aggregation disaggregation
2010/4/27
The paper studies the aggregation/disaggregation problem
of random parameter AR(1) processes and its relation to the long memory
phenomenon. We give a characterization of a subclass of aggregated
p...