Long-memory process and aggregation of AR(1) stochastic processes: A new characterization

Abstract : Contemporaneous aggregation of individual AR(1) random processes might lead to different properties of the limit aggregated time series, in particular, long memory (Granger, 1980). We provide a new characterization of the series of autoregressive coefficients, which is defined from the Wold representation of the limit of the aggregate stochastic process, in the presence of long-memory features. Especially the infinite autoregressive stochastic process defined by the almost sure representation of the aggregate process has a unit root in the presence of the long-memory property. Finally we discuss some examples using some well-known probability density functions of the autoregressive random parameter in the aggregation literature. JEL Classification Code: C2, C13.
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https://hal.univ-cotedazur.fr/hal-01166527
Contributeur : Michel Miniconi <>
Soumis le : vendredi 7 août 2015 - 22:27:10
Dernière modification le : jeudi 3 mai 2018 - 13:32:58
Document(s) archivé(s) le : mercredi 26 avril 2017 - 10:10:55

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  • HAL Id : hal-01166527, version 2
  • ARXIV : 1506.07446

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Bernard Candelpergher, Michel Miniconi, Florian Pelgrin. Long-memory process and aggregation of AR(1) stochastic processes: A new characterization. 2015. 〈hal-01166527v2〉

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