Representation of I(1) and I(2) autoregressive Hilbertian processes
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Publication:5859554
DOI10.1017/S0266466619000276zbMATH Open1462.62768arXiv1701.08149MaRDI QIDQ5859554FDOQ5859554
Authors: Brendan K. Beare, Won-Ki Seo 
Publication date: 16 April 2021
Published in: Econometric Theory (Search for Journal in Brave)
Abstract: We extend the Granger-Johansen representation theorems for I(1) and I(2) vector autoregressive processes to accommodate processes that take values in an arbitrary complex separable Hilbert space. This more general setting is of central relevance for statistical applications involving functional time series. We first obtain a range of necessary and sufficient conditions for a pole in the inverse of a holomorphic index-zero Fredholm operator pencil to be of first or second order. Those conditions form the basis for our development of I(1) and I(2) representations of autoregressive Hilbertian processes. Cointegrating and attractor subspaces are characterized in terms of the behavior of the autoregressive operator pencil in a neighborhood of one.
Full work available at URL: https://arxiv.org/abs/1701.08149
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Cited In (11)
- Fredholm inversion around a singularity: application to autoregressive time series in Banach space
- Functional principal component analysis for cointegrated functional time series
- COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
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- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES
- TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION
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