Multivariate Wold decompositions: a Hilbert \(A\)-module approach

DOI10.1007/s10203-023-00392-3zbMath1528.62044OpenAlexW4362549318MaRDI QIDQ6098177

Federico Severino, Simone Cerreia-Vioglio, Claudio Tebaldi, Fulvio Ortu

Publication date: 12 June 2023

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-023-00392-3

zbMATH Keywords

Wold decompositionmultivariate stationary processesHilbert \(A\)-modulespersistence heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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