Related papers: Cointegration in functional autoregressive process…

We extend the notion of cointegration for time series taking values in a potentially infinite dimensional Banach space. Examples of such time series include stochastic processes in C[0,1] equipped with the supremum distance and those in a…

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…

We define strong and weak unit roots for the functional AR(1) process and give some theoretical examples. It is shown that a functional form of cointegration occurs in which only a finite number of common trends exist. Using functional…

This paper establishes an extended representation theorem for unit-root VARs. A specific algebraic technique is devised to recover stationarity from the solution of the model in the form of a cointegrating transformation. Closed forms of…

We prove an extended Granger-Johansen representation theorem (GJRT) for finite or infinite order integrated autoregressive time series on Banach space. We assume only that the resolvent of the autoregressive polynomial for the series is…

We study the estimation and prediction of functional autoregressive~(FAR) processes, a statistical tool for modeling functional time series data. Due to the infinite-dimensional nature of FAR processes, the existing literature addresses its…

When considering the problem of forecasting a continuous-time stochastic process over an entire time-interval in terms of its recent past, the notion of Autoregressive Hilbert space processes (ARH) arises. This model can be seen as a…

The paper consists of two parts. The first part introduces the representation ring for the family of compact unitary groups U(1), U(2),.... This novel object is a commutative graded algebra R with infinite-dimensional homogeneous…

We develop a unified representation theory for the categories of finite subsets and relation-preserving maps of highly homogeneous relational structures classified by Cameron. For any commutative coefficient ring $k$, we extend the…

We introduce the notions of categorical integrals and categorical cointegrals of a finite tensor category $\mathcal{C}$ by using a certain adjunction between $\mathcal{C}$ and its Drinfeld center $\mathcal{Z}(\mathcal{C})$. These notions…

We give a pedagogical survey of those aspects of the abstract representation theory of quantum groups which are related to the Tannaka-Krein reconstruction problem. We show that every concrete semisimple tensor *-category with conjugates is…

Let $H$ be a complex Hilbert space and let ${\mathcal P}(H)$ be the associated projective space (the set of rank-one projections). Suppose that $\dim H\ge 3$. We prove the following Wigner-type theorem: if $H$ is finite-dimensional, then…

A family of continuous-time generalized autoregressive conditionally heteroscedastic processes, generalizing the $\operatorname {COGARCH}(1,1)$ process of Kl\"{u}ppelberg, Lindner and Maller [J. Appl. Probab. 41 (2004) 601--622], is…

This paper proposes a new approach to identifying the effective cointegration rank in high-dimensional unit-root (HDUR) time series from a prediction perspective using reduced-rank regression. For a HDUR process $\mathbf{x}_t\in…

Functional autoregressive (FAR) models provide a fundamental framework for analyzing temporally dependent functional data. However, the infinite-dimensional nature of the underlying Hilbert space introduces intrinsic ill-posedness, as the…

Traditional econometric analyzes represent observations as vectors despite the inherent complexity of empirical data structures. When data are organized along dual classification dimensions, a matrix representation provides a more natural…

The functional linear model extends the notion of linear regression to the case where the response and covariates are iid elements of an infinite dimensional Hilbert space. The unknown to be estimated is a Hilbert-Schmidt operator, whose…

Let $G$ be a discrete group with property (T). It is a standard fact that, in a unitary representation of $G$ on a Hilbert space $\mathcal{H}$, almost invariant vectors are close to invariant vectors, in a quantitative way. We begin by…

The universal (co)acting bi/Hopf algebras introduced by Yu. I. Manin, M. Sweedler and D. Tambara, the universal Hopf algebra of a given (co)module structure, as well as the universal group of a grading, introduced by J. Patera and H.…

A new integer--valued autoregressive process (INAR) with Generalised Lagrangian Katz (GLK) innovations is defined. This process family provides a flexible modelling framework for count data, allowing for under and over--dispersion,…