Temporal disaggregation of stationary bivariate time series Original Research Article

We propose a procedure generalizing the Wei and Stram univariate disaggregation process for the disaggregation of stationary bivariate time series. We discuss the autocovariance and cross-covariance functions needed to produce the disaggregate series. We show how to derive the order of the bivariate disaggregate model. We illustrate the procedure with an example and present the results of a simulation study.