Aggregation and Disaggregation of Structural Time Series Models
β Scribed by Luiz K. Hotta; Klaus L. Vasconcellos
- Book ID
- 108549366
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 253 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Given a structural timeβseries model specified at a basic time interval, this paper deals with the problems of forecasting efficiency and estimation accuracy generated when the data are collected at a timing interval which is a multiple of the time unit chosen to build the basic model.
With large volatility observed in stock markets around the world over the last few years, many actuaries are now being urged to employ stochastic models to measure the solvency risk generated from insurance products with equity-linked guarantees. There are a large number of potential stochastic mode
We propose a procedure generalizing the Wei and Stram univariate disaggregation process for the disaggregation of stationary bivariate time series. We discuss the autocovariance and cross-covariance functions needed to produce the disaggregate series. We show how to derive the order of the bivariate