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

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  • Scotto, M. G.

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.

Suggested Citation

  • Scotto, M. G., 2003. "A note on the asymptotic distribution of the maxima in disaggregated time-series models," Statistics & Probability Letters, Elsevier, vol. 65(2), pages 127-137, November.
    • Handle: RePEc:eee:stapro:v:65:y:2003:i:2:p:127-137
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    References listed on IDEAS

    as
    1. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
    2. Daniel O. Stram & William W. S. Wei, 1986. "Temporal Aggregation In The Arima Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 279-292, July.
    3. M. E. Robinson & J. A. Tawn, 2000. "Extremal analysis of processes sampled at different frequencies," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 117-135.
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