Torsten
Posts:
1,717
Registered:
11/8/10


Construct sample paths over time from aggregated sample data
Posted:
Nov 25, 2016 6:18 AM


Dear Community,
a raw data basis consists of measurements of a certain quantity over time taken every 1 minute. But these data are not available for me.
What I have are the empirical distributions for the maximum variation of the quantity every 15 minutes, 1 hour and 1 day together with the expected value of the quantity taken over the complete set of raw data.
Is it possible to construct sample paths over time for the quantity from this information ? If yes  what do you suggest ?
Thank you in advance for any help.
Best wishes Torsten.

