Time series aggregation, disaggregation and long memory
arXiv:math/0702821 · doi:10.1007/s10986-007-0026-6
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 (moving average representation) of the aggregated process is investigated.