IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-031-66398-7_1.html
   My bibliography  Save this book chapter

Analysis of High-Frequency Seasonal Time Series

In: Time Series and Wavelet Analysis

Author

Listed:
  • Ruey S. Tsay

    (University of Chicago, Booth School of Business)

Abstract

Data of high-frequency time series are widely available nowadays. These data often exhibit certain features that are similar to, yet distinct from those of the low-frequency time series. Conventional time series methods thus become inadequate in analyzing such high-frequency data. In this chapter, we propose a structural approach to overcome the difficulties in analyzing high-frequency time series. In particular, a mixture of deterministic and stochastic components is used, in conjunction with conditional heteroscedasticity, to model the seasonality of the high-frequency series. The usefulness and applicability of the proposed approach is demonstrated by modeling hourly measurements of particulate matter with diameters 2.5 micrometers and smaller (PM 2.5 $${ }_{2.5}$$ ) series over a ten year period with sample size 87600. Extensions to modeling high-frequency seasonal spatio-temporal series are discussed.

Suggested Citation

  • Ruey S. Tsay, 2024. "Analysis of High-Frequency Seasonal Time Series," Springer Books, in: Chang Chiann & Aluisio de Souza Pinheiro & ClĂ©lia Maria Castro Toloi (ed.), Time Series and Wavelet Analysis, pages 3-26, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-66398-7_1
    DOI: 10.1007/978-3-031-66398-7_1
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-031-66398-7_1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.