On the log quantile difference of the temporal aggregation of a stable moving average process
Statistics Theory
2014-04-29 v1 Statistics Theory
Abstract
A formula is derived for the log quantile difference of the temporal aggregation of some types of stable moving average processes, MA(q). The shape of the log quantile difference as a function of the aggregation level is examined and shown to be dependent on the parameters of the moving average process but not the quantile levels. The classes of invertible, stable MA(1) and MA(2) processes are examined in more detail.
Keywords
Cite
@article{arxiv.1404.6875,
title = {On the log quantile difference of the temporal aggregation of a stable moving average process},
author = {Adrian W. Barker},
journal= {arXiv preprint arXiv:1404.6875},
year = {2014}
}
Comments
13 pages, 3 figures. Most of this paper is included in chapter 2 of my PhD thesis, which is yet to be submitted