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dc.contributor.authorJea, Ren_US
dc.contributor.authorSu, CTen_US
dc.contributor.authorLin, JLen_US
dc.date.accessioned2014-12-08T15:18:05Z-
dc.date.available2014-12-08T15:18:05Z-
dc.date.issued2005-11-01en_US
dc.identifier.issn0160-5682en_US
dc.identifier.urihttp://dx.doi.org/10.1057/palgrave.jors.2601947en_US
dc.identifier.urihttp://hdl.handle.net/11536/13076-
dc.description.abstractThe 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.en_US
dc.language.isoen_USen_US
dc.subjectcorrelation coefficienten_US
dc.subjecttime intervalen_US
dc.subjectsystematic samplingen_US
dc.titleTime aggregation effect on the correlation coefficient: added-systematically sampled frameworken_US
dc.typeArticleen_US
dc.identifier.doi10.1057/palgrave.jors.2601947en_US
dc.identifier.journalJOURNAL OF THE OPERATIONAL RESEARCH SOCIETYen_US
dc.citation.volume56en_US
dc.citation.issue11en_US
dc.citation.spage1303en_US
dc.citation.epage1309en_US
dc.contributor.department交大名義發表zh_TW
dc.contributor.departmentNational Chiao Tung Universityen_US
dc.identifier.wosnumberWOS:000232482600008-
dc.citation.woscount1-
顯示於類別:期刊論文