Cointegrated linear processes in Bayes Hilbert space

DOI10.1016/J.SPL.2018.11.032MaRDI QIDQ1726899zbMATH OpenOpenAlexWikidataFDO

Authors Won-Ki Seo, Brendan K. Beare

Publication date 20 February 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.11.032

zbMATH Keywords

functional datacointegrationBayes Hilbert space

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probability theory on linear topological spaces (60B11) Functional data analysis (62R10)

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Cites work

• scientific article; zbMATH DE number 5832464 (Why is no real title available?)
• scientific article; zbMATH DE number 3133146 (Why is no real title available?)
• scientific article; zbMATH DE number 3772748 (Why is no real title available?)
• A family of minimax rates for density estimators in continuous time
• Bayes Hilbert spaces
• Cointegrated Linear Processes in Hilbert Space
• Dimensionality reduction when data are density functions
• Functional data analysis for density functions by transformation to a Hilbert space
• Functional regression of continuous state distributions
• Hilbert space of probability density functions based on Aitchison geometry
• Inference for Density Families Using Functional Principal Component Analysis
• Local likelihood density estimation
• Nonstationarity in time series of state densities
• Simplicial principal component analysis for density functions in Bayes spaces

Cited in

(8)

• Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model
• INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
• Bivariate densities in Bayes spaces: orthogonal decomposition and spline representation
• Orthogonal decomposition of multivariate densities in Bayes spaces and relation with their copula-based representation
• Fractionally integrated curve time series with cointegration
• Cointegrated Linear Processes in Hilbert Space
• Representation of I(1) and I(2) autoregressive Hilbertian processes
• Cointegration in functional autoregressive processes

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