The use of temporally aggregated data on detecting a mean change of a time series process

Bu Hyoung Lee and William W. S. Wei

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 12, 5851-5871

Abstract: In this article we investigate the effects of temporal aggregation on testing for a mean change of time series through a likelihood ratio (LR) test. We derive the functional relationship between non aggregate-model parameters and aggregate-model parameters. Using the relationship, we propose a modified LR test when aggregate data are used. Through the theory, Monte Carlo simulations, and empirical examples, we show that aggregation leads the null distribution of the LR test statistic being shifted to the left. Hence, the test power increases as the order of aggregation increases.

Date: 2017
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DOI: 10.1080/03610926.2015.1091082

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