The Granger-Johansen representation theorem for integrated time series on Banach space

Authors Phil Howlett, Brendan K. Beare, Massimo Franchi, John Boland, Konstantin Avrachenkov

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Local spectral properties of linear operators (47A11) Perturbation theory of linear operators (47A55)

Abstract: We prove a generalized form of the Granger-Johansen representation theorem (GJRT) for finite or infinite order integrated auto-regressive time series on Banach space

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