Temporal Aggregation of Stock Variables — Systematically Missing Observations
The subject of this chapter is temporal aggregation of stock variables where the aggregate consists of every m-th variable (or vector of variables) of the original, full process. In other words, forecasting time series with systematically (or periodically) missing observations will be discussed. Treating this special form of aggregation separately is useful in order to demonstrate the implications of the general results of the previous chapter for this special case.
KeywordsCovariance Dition Nite Sonal
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