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Lithuanian Mathematical Journal

, Volume 47, Issue 4, pp 379–393 | Cite as

Time series aggregation, disaggregation, and long memory

  • D. CelovEmail author
  • R. Leipus
  • A. Philippe
Article

Abstract

We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long-memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, “elementary”, cases. In particular cases of the mixture densities, the structure of the aggregated process is investigated.

Keywords

random coefficient AR(1) long memory aggregation disaggregation 

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Copyright information

© Springer Science+Business Media, Inc. 2007

Authors and Affiliations

  1. 1.Vilnius UniversityVilniusLithuania
  2. 2.Vilnius Institute of Mathematics and InformaticsVilniusLithuania
  3. 3.Laboratoire de Mathématiques Jean LerayUniversité de NantesFrance

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