Mixing properties of Banach valued autoregressive processes

DOI10.1016/S0764-4442(01)02031-6MaRDI QIDQ2748300zbMATH OpenFDO

Authors Abdelaziz Allam, Tahar Mourid

Publication date 2 April 2002

Published in Comptes Rendus de l'Académie des Sciences. Série I. Mathématique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0764-4442(01)02031-6

zbMATH Keywords

autoregressive processBanach space valued processstrong mixing

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

Review text

The authors give sufficient conditions under which an autoregressive process, taking values in a Banach space \({\mathcal B}\), verifies absolute regularity and strong mixing. They consider first the process \(X_n=\rho X_{n-1}+\varepsilon_n\) where \(\rho\) is an operator taking values in \({\mathcal B}\) having norm bounded strictly by one and \(\varepsilon_n\) is a noise whose density verifies some regularity conditions. Then they extend their result to higher order autoregressive processes. The methods of proof strongly rely on those developed by \textit{A. Mokkaden} in 1990 to study the finite-dimensional case.

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