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Temporal disaggregation of stationary bivariate time series

✍ Scribed by Erin M. Hodgess; William W.S. Wei

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 139 KB
Volume: 321
Category: Article
ISSN: 0024-3795
DOI: 10.1016/s0024-3795(99)00096-8

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✦ Synopsis

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 disaggregate model. We illustrate the procedure with an example and present the results of a simulation study.

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