Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85158
Authors: 
Beran, Jan
Ocker, Dirk
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper 00/22
Abstract: 
We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In the case of integrated processes, the results extend Tiao's [15] to the fractional case.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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