A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models
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AbstractIn this paper the effects of temporal aggregation on a class of Markov switching models known as MSG models, are investigated. Mathematical formulae are derived for the first and second moments of an aggregated MSG model. (c) 2007 Elsevier B. V. All rights reserved.
All Author(s) ListChan WS, Chan YT
Journal nameStatistics and Probability Letters
Year2008
Month4
Day15
Volume Number78
Issue Number6
PublisherElsevier
Pages728 - 735
ISSN0167-7152
eISSN1879-2103
LanguagesEnglish-United Kingdom
KeywordsARMA model; autocorrelation function; data disaggregation; Markov switching model; temporal aggregation
Web of Science Subject CategoriesMathematics; Statistics & Probability; STATISTICS & PROBABILITY

Last updated on 2021-04-05 at 00:18