Cointegrated Linear Processes in Hilbert Space

DOI10.1111/JTSA.12251MaRDI QIDQ4596436zbMATH OpenOpenAlexFDO

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

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 autoregressionfunctional time seriesGranger-Johansen representation theorem

Mathematics Subject Classification ID

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

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(19)

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• Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate
• On non-stationary solutions to MSDDEs: representations and the cointegration space
• Nonstationary fractionally integrated functional time series
• Nonparametric estimation of functional dynamic factor model
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• Representation of I(1) and I(2) autoregressive Hilbertian processes
• Cointegration in functional autoregressive processes
• A general inversion theorem for cointegration
• 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
• Fractionally integrated curve time series with cointegration
• A note on Johansen's rank conditions and the Jordan form of a matrix
• The Granger-Johansen representation theorem for integrated time series on Banach space
• Inversion of an analytic operator function through Fredholm quotients and its application
• Change-point detection in functional time series: applications to age-specific mortality and fertility

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