Aggregation and long memory: recent developments∗

Abstract. It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present time, aggregation has become one of the main tools for modelling of long memory processes. We review recent work on contempora-neous aggregation of random-coefficient AR(1) and related models, with particular focus on various long memory properties of the aggregated process