Cointegrated Linear Processes in Hilbert Space

DOI10.1111/jtsa.12251zbMath1416.62477OpenAlexW2554963940MaRDI QIDQ4596436

Won-Ki Seo, Juwon Seo, Brendan K. Beare

Publication date: 1 December 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12251

zbMATH Keywords

cointegrationfunctional time seriesfunctional autoregressionGranger-Johansen representation theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

Nonparametric estimation of functional dynamic factor model ⋮ Nonparametric trend estimation in functional time series with application to annual mortality rates ⋮ COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES ⋮ Fredholm inversion around a singularity: application to autoregressive time series in Banach space ⋮ INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Functional principal component analysis for cointegrated functional time series ⋮ Nonstationary fractionally integrated functional time series ⋮ Cointegrated linear processes in Bayes Hilbert space ⋮ Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES ⋮ COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES ⋮ A general inversion theorem for cointegration

This page was built for publication: Cointegrated Linear Processes in Hilbert Space