A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

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• 作者：Wai-Sum Chan ; Yin-Ting Chan
• 关键词：ARMA model ; Autocorrelation function ; Data disaggregation ; Markov switching model ; Temporal aggregation
• 刊名：Statistics and Probability Letters
• 出版年：2008
• 期刊代码：56_01677152
• 类别：mt
• 出版时间：15 April 2008
• 卷：78
• 期：6
• 页码：728-735
• 文件大小：157 K

摘要

In 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.