Disaggregation of Time Series Models
时间序列模型的分解聚合
SUMMARY We develop a model disaggregation method to derive a disaggregate model from a given aggregate model, which is then used to perform data disaggregation. Since a time series model and its autocovariance structure are closely related, we approach the problem by exploring the possibility of estimating the autocovariance structure for the unobserved disaggregated series from the available autocovariances of an aggregate model. Let the time series aggregates be the…