Temporal disaggregation of stationary bivariate time series

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...

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Bibliographic Details
Published in:Linear algebra and its applications 2000, Vol.321 (1), p.175-196
Main Authors: Hodgess, Erin M., Wei, William W.S.
Format: Article
Language:English
Subjects:
Bivariate ARMA process
Bivariate disaggregation
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Summary: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.
ISSN:0024-3795
1873-1856
DOI:10.1016/S0024-3795(99)00096-8