A0449
Title: Time aggregation of mixed causal noncausal autoregressive models with real and complex conjugate roots
Authors: Tomas del Barrio Castro - University of the Balearic Islands (Spain) [presenting]
Abstract: The aim is to study systematic and cumulant aggregation of mixed causal noncausal autoregressive models with alpha-stable innovations. It is shown that aggregation preserves noncausality; however, it may affect the modulus of the roots of both the causal and noncausal parts, as well as the frequency allocation of the roots (aliasing effect). In some cases, under cumulant sampling, pairs of complex conjugate factors or negative roots may not only shift from one frequency to another, but may even vanish entirely. The effects of aggregation on the fat-tail behavior of alpha-stable innovations are also analyzed after aggregation. The Monte Carlo simulations support the analytical findings
