Asymptotic behaviour of temporal aggregates of time series

Abstract

The problem of modelling and forecasting temporal aggregates of time series is discussed. Let zt be the basic series and xT be the m-component temporal aggregatos. Forecasts of future xT may be constructed from data on (i) zt or (ii) xT. It is shown that, for large m, there is no gain in using the basic data if zt is stationary, but considerable gain can be obtained when zt is nonstationary.