Modelling and forecasting time series sampled at different frequencies

@inproceedings{Casals2009ModellingAF,
  title={Modelling and forecasting time series sampled at different frequencies},
  author={J. Casals and Miguel Jerez and S. Sotoca},
  year={2009}
}
This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic dynamic components remain unchanged but some of them, mainly those related to the seasonal structure, become unobservable. Building on these results, we propose a… CONTINUE READING
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