Sunday, August 21, 2016

More on Big Data and Mixed Frequencies

I recently blogged on Big Data and mixed-frequency data, arguing that Big Data (wide data, in particular) leads naturally to mixed-frequency data.  (See here for the tall data / wide data / dense data taxonomy.)  The obvious just occurred to me, namely that it's also true in the other direction. That is, mixed-frequency situations also lead naturally to Big Data, and with a subtle twist: the nature of the Big Data may be dense rather than wide. The theoretically-pure way to set things up is as a state-space system laid out at the highest observed frequency, appropriately treating most of the lower-frequency data as missing, as in ADS.  By construction, the system is dense if any of the series are dense, as the system is laid out at the highest frequency.