Aggregation and long memory: recent developments

2013/06/14 by Remigijus Leipus, Anne Philippe, Leipus, Remigijus +5
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1306.3301

openalex publication_date 2013/06/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present time, aggregation has become one of the main tools for modelling of long memory processes. We review recent work on contemporaneous aggregation of random-coefficient AR(1) and related models, with particular focus on various long memory properties of the aggregated process.

Citations

• On \α-covariance, long, short and negative memories for sequences\n of random variables with infinite variance

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