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Biometrika 1976 63(3):513-523; doi:10.1093/biomet/63.3.513
© 1976 by Biometrika Trust
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Effect of temporal aggregation on the dynamic relationship of two time series variables

G. C. TIAO and W. S. WEI

Department of Statistics, University of Wisconsin Madison
Department of Statistics, Temple University Philadelphia

This paper considers the effect of temporal aggregation on the dynamic relationships between two discrete time series variables. Given the model in terms of some basic time unit, the corresponding model for the aggregates is obtained. Examples are given showing that temporal aggregation can lead to a substantial loss in parameter estimation while the loss in prediction efficiency is much less severe.

Key Words: Cross-covariance generating function • Invertible model • One-sided dynamic model • Temporal aggregate • Time series


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