THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
系统抽样与时间聚合对离散时间长记忆过程及有限样本性质的影响
This study investigates the effects of varying sampling intervals on the long memory characteristics of certain stochastic processes. We find that although different sampling intervals do not affect the decay rate of discrete time long memory autocorrelation functions in large lags, the autocorrelation functions in short lags are affected significantly. The level of the autocorrelation functions moves upward for temporally aggregated processes and downward for systematically…