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The effects of systematic sampling and temporal aggregation on discrete time long memory processes and their finite sample properties
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Hwang, Soosung (1999) The effects of systematic sampling and temporal aggregation on discrete time long memory processes and their finite sample properties. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.15).
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
Abstract
This study investigates the effects of varying sampling intervals on the long memory
characteristics of certain stochastic processes. We find that although different sampling
intervals do not affect the decay rate of discrete time long memory autocorrelation functions
in large lags, the autocorrelation functions in short lags are affected significantly. The level of
the autocorrelation functions moves upward for temporally aggregated processes and
downward for systematically sampled processes, and these effects result in a bias in the long
memory parameter. For the ARFIMA(0,d,0) process, the absolute magnitude of the long
memory parameter, |d|, of the temporally aggregated process is greater than the |d| of the true
process, which is greater than the |d| of the systematically sampled process. We also find that
the true long memory parameter can be obtained if we use a decay rate that is not affected by
different sampling intervals.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Stochastic processes, Sampling (Statistics), Time-series analysis | ||||
Series Name: | Working Papers Series | ||||
Publisher: | Warwick Business School Financial Econometrics Research Centre | ||||
Place of Publication: | University of Warwick | ||||
Official Date: | March 1999 | ||||
Dates: |
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Volume: | Vol.1999 | ||||
Number: | No.15 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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