Most of the time series are constructed by some kind of aggregation and temporal
aggregation that can be defined as aggregation over consecutive time periods.
Temporal aggregation takes an important role in time series analysis since the choice
of time unit clearly influences the type of model and forecast results. A totally
different time series model can be fitted on the same variable over different time
periods. In this thesis, the effect of temporal aggregation on univariate time series
models is studied by considering modeling and forecasting procedure via a
simulation study and an application based on a southern oscillation data set.
Simulation study shows how the model, mean square forecast error and estimated
parameters change when temporally aggregated data is used for different orders of
aggregation and sample sizes. Furthermore, the effect of temporal aggregation is also
demonstrated through southern oscillation data set for different orders of
aggregation. It is observed that the effect of temporal aggregation should be taken
into account for data analysis since temporal aggregation can give rise to misleading
results and inferences.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12612528/index.pdf |
| Date | 01 September 2010 |
| Creators | Sariaslan, Nazli |
| Contributors | Yozgatligil (talu), Ceylan |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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