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Title: Time aggregation effect on the correlation coefficient: Added-systematically sampled framework
Authors: Jea, R.;Su, C.-T.;Lin, Jin-Lung
Contributors: 經濟系
Keywords: Finance;Industrial economics;Mathematical models;Regression analysis;Statistical methods;Correlation coefficients;Random variables;Temporal aggregation;Time interval effect;Correlation theory
Date: 2005-11
Issue Date: 2015-07-27 14:37:18 (UTC+8)
Abstract: 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. © 2005 Operational Research Society Ltd. All rights reserved.
Relation: Journal of the Operational Research Society, 56(11), 1303-1309
Data Type: article
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