COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES

DOI10.1017/S0266466619000306zbMath1462.62769arXiv1712.07522MaRDI QIDQ5859555

Paolo Paruolo, Massimo Franchi

Publication date: 16 April 2021

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.07522

zbMATH Keywords

functional autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Foundations of stochastic processes (60G05)

Related Items (7)

TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION ⋮ 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 ⋮ Resolvent and logarithmic residues of a singular operator pencil in Hilbert spaces

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