Temporal Aggregation of Seasonally Near-Integrated Processes

Castro, TD; Rodrigues, PMM; Taylor, AMR

Taylor, AMR (reprint author), Univ Essex, Essex Business Sch, Wivenhoe Pk, Colchester CO4 3SQ, Essex, England.

JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (6): 872

Abstract

We investigate the implications that temporally aggregating, either by average sampling or systematic (skip) sampling, a seasonal process has on the i......

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