A note on the asymptotic distribution of the maxima in disaggregated time-series models

M. G. Scotto

Statistics & Probability Letters, 2003, vol. 65, issue 2, 127-137

Abstract: This work is motivated by the desire to model extremes of weighted averages taken over different time scales. We focus on the extremal properties of disaggregated time series. The maximum limiting distribution is obtained.

Keywords: MA; representation; ARMA; representation; Disaggregated; model; Extremal; behaviour; Autocovariance; function (search for similar items in EconPapers)
Date: 2003
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