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Should we sample a time series more frequently?: decision support via multirate spectrum estimation

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  • Guy P. Nason
  • Ben Powell
  • Duncan Elliott
  • Paul A. Smith

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  • Guy P. Nason & Ben Powell & Duncan Elliott & Paul A. Smith, 2017. "Should we sample a time series more frequently?: decision support via multirate spectrum estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 353-407, February.
    • Handle: RePEc:bla:jorssa:v:180:y:2017:i:2:p:353-407
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    References listed on IDEAS

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    14. Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
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    Cited by:

    1. Meier, Alexander & Kirch, Claudia & Meyer, Renate, 2020. "Bayesian nonparametric analysis of multivariate time series: A matrix Gamma Process approach," Journal of Multivariate Analysis, Elsevier, vol. 175(C).

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