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Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results

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  • Georges Oppenheim
  • Marie‐Claude Viano

Abstract

. It is shown that by aggregating simple random parameters, processes such as autoregressive micro‐relationships or Ornstein‐Uhlenbeck processes, one can obtain various seasonal long memory Gaussian models. The investigation concerns the discrete as well as the continuous time setting. In both situations the precise asymptotic behaviour of the covariance is studied. The regularity of sample paths is evaluated when possible.

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  • Georges Oppenheim & Marie‐Claude Viano, 2004. "Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 335-350, May.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:3:p:335-350
    DOI: 10.1111/j.1467-9892.2004.01775.x
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    References listed on IDEAS

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    1. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    2. Viano, M. C. & Deniau, C. & Oppenheim, G., 1994. "Continuous-time fractional ARMA processes," Statistics & Probability Letters, Elsevier, vol. 21(4), pages 323-336, November.
    3. Henry L. Gray & Nien‐Fan Zhang & Wayne A. Woodward, 1989. "On Generalized Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 233-257, May.
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    Cited by:

    1. J. Eduardo Vera-Valdés, 2021. "Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation," Econometrics, MDPI, vol. 9(4), pages 1-18, October.
    2. Jan Beran & Haiyan Liu & Sucharita Ghosh, 2020. "On aggregation of strongly dependent time series," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 690-710, September.
    3. Remigijus Leipus & Anne Philippe & Vytautė Pilipauskaitė & Donatas Surgailis, 2020. "Estimating Long Memory in Panel Random‐Coefficient AR(1) Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 520-535, July.
    4. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2015. "Joint aggregation of random-coefficient AR(1) processes with common innovations," Statistics & Probability Letters, Elsevier, vol. 101(C), pages 73-82.
    5. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2014. "Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 1011-1035.
    6. Proietti, Tommaso & Maddanu, Federico, 2024. "Modelling cycles in climate series: The fractional sinusoidal waveform process," Journal of Econometrics, Elsevier, vol. 239(1).
    7. J. Eduardo Vera-Valdés, 2021. "Temperature Anomalies, Long Memory, and Aggregation," Econometrics, MDPI, vol. 9(1), pages 1-22, March.
    8. Gil-Alana, Luis A. & Mudida, Robert & Zerbo, Eleazar, 2021. "GDP per capita IN SUB-SAHARAN Africa: A time series approach using long memory," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 175-190.
    9. J. Eduardo Vera‐Valdés, 2020. "On long memory origins and forecast horizons," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 811-826, August.
    10. J. Eduardo Vera-Vald'es, 2018. "Nonfractional Memory: Filtering, Antipersistence, and Forecasting," Papers 1801.06677, arXiv.org.
    11. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "High and low prices and the range in the European stock markets: A long-memory approach," Research in International Business and Finance, Elsevier, vol. 52(C).
    12. Jirak, Moritz, 2013. "A Darling–Erdös type result for stationary ellipsoids," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 1922-1946.
    13. Haldrup, Niels & Vera Valdés, J. Eduardo, 2017. "Long memory, fractional integration, and cross-sectional aggregation," Journal of Econometrics, Elsevier, vol. 199(1), pages 1-11.
    14. Dmitrij Celov & Remigijus Leipus & Anne Philippe, 2010. "Asymptotic normality of the mixture density estimator in a disaggregation scheme," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(4), pages 425-442.
    15. Beran, Jan & Schützner, Martin & Ghosh, Sucharita, 2010. "From short to long memory: Aggregation and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2432-2442, November.
    16. Thornton, Michael A., 2014. "The aggregation of dynamic relationships caused by incomplete information," Journal of Econometrics, Elsevier, vol. 178(P2), pages 342-351.
    17. Anne Philippe & Donata Puplinskaite & Donatas Surgailis, 2014. "Contemporaneous Aggregation Of Triangular Array Of Random-Coefficient Ar(1) Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 16-39, January.

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