標題: Time aggregation effect on the correlation coefficient: added-systematically sampled framework
作者: Jea, R
Su, CT
Lin, JL
交大名義發表
National Chiao Tung University
關鍵字: correlation coefficient;time interval;systematic sampling
公開日期: 1-十一月-2005
摘要: The aggregation of financial and economic time series occurs in a number of ways. Temporal aggregation or systematic sampling is the commonly used approach. In this paper, we investigate the time interval effect of multiple regression models in which the variables are additive or systematically sampled. The correlation coefficient changes with the selected time interval when one is additive and the other is systematically sampled. It is shown that the squared correlation coefficient decreases monotonically as the differencing interval increases, approaching zero in the limit. When two random variables are both added or systematically sampled, the correlation coefficient is invariant with time and equal to the one-period values. We find that the partial regression and correlation coefficients between two additive or systematically sampled variables approach one-period values as n increases. When one of the variables is systematically sampled, they will approach zero in the limit. The time interval for the association analyses between variables is not selected arbitrarily or the statistical results are likely affected.
URI: http://dx.doi.org/10.1057/palgrave.jors.2601947
http://hdl.handle.net/11536/13076
ISSN: 0160-5682
DOI: 10.1057/palgrave.jors.2601947
期刊: JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY
Volume: 56
Issue: 11
起始頁: 1303
結束頁: 1309
顯示於類別:期刊論文