Temporal Aggregation for ARMA Model in an Application Perspective

Ze-hui JIN, Ying-ying HU, Jia-liang HUA, Zeng-min WANG

Abstract


This article perfects ARMA model explanations and discusses regularity results of ARMA model in temporal aggregation. Monte Carlo simulation has been applied to verify accuracy of the theory. And we also put forward possible model applications, that is, integrating shocks to better prediction model in financial markets.

Keywords


ARMA, Temporal aggregation, Monte Carlo, Model optimization


DOI
10.12783/dtcse/cmsam2017/16342

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