TEMPORAL AGGREGATION IN THE ARIMA PROCESS
TEMPORAL AGGREGATION IN THE ARIMA PROCESS
复制标题
DOI：
10.1111/j.1467-9892.1986.tb00495.x
复制
发表时间：
1986-07
影响因子：
0.9
通讯作者：
D. Stram;William W. S. Wei
中科院分区：
文献类型：
--
作者：
D. Stram;William W. S. Wei
摘要。研究了时间聚集对ARIMA模型的影响。本文讨论了聚合导致的模型形式的变化。对于IMA模型，值得注意的是，由于聚合，可能会发生模型阶数的降低，这将任意高阶IMA （d, q）过程转换为聚合的IMA （d, 0）过程。对于AR过程，我们推导了聚合模型的精确顺序，并表明AR (p)序列的聚合不一定产生ARMA （p, q）聚合序列，如文献中所建议的那样。特别是，AR (p)和ARIMA （p, d, q）的AR阶数可以在聚合后降低。本文给出了这种降阶可能发生的一般条件。
Abstract. The effect of temporal aggregation on ARIMA models is investigated. The paper discusses the change of model form resulting from aggregation. For the IMA model it is noted that reduction of model order may occur, due to aggregation, which takes an arbitrarily high order IMA (d, q) process to an IMA (d, 0) process for the aggregates. For the AR process, we derive the exact order for the aggregate model and show that aggregation of an AR (p) series does not necessarily produce an ARMA (p, q) aggregate series as has been suggested in the literature. In particular, the AR order of AR (p) and ARIMA (p, d, q) can be reduced upon aggregation. The paper gives the general conditions under which this reduction of order may occur.