相关论文: Cointegration and Representation of Cointegrated A…

This paper defines the class of $\mathcal{H}$-valued autoregressive (AR) processes with a unit root of finite type, where $\mathcal{H}$ is an infinite dimensional separable Hilbert space, and derives a generalization of the Granger-Johansen…

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 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…

In this paper, we consider a Banach space valued random coefficient autoregressive process. Our studies on this process involve existence, weak law of large numbers, strong law of large numbers, some exponential inequalities, central limit…

In data rich environments we may sometimes deal with time series that are probability density-function valued, such as observations of cross-sectional income distributions over time. To apply the methods of functional time series analysis…

A well-known result going back to the 1930s states that all bounded linear operators mapping scalar-valued $L^1$-spaces into $L^\infty$-spaces are kernel operators and that in fact this relation induces an isometric isomorphism between the…

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…

When a spatial process is recorded over time and the observation at a given time instant is viewed as a point in a function space, the result is a time series taking values in a Banach space. To study the spatio-temporal extremal dynamics…

This work will be centered in commutative Banach subalgebras of the algebra of bounded linear operators defined on a Free Banach spaces of countable type. The main goal of this work wil be to formulate a representation theorem for these…

We observe a multilinearity preserving property of conditional expectation for infinite dimensional independent increment processes defined on some abstract Banach space $B$. It is similar in nature to the polynomial preserving property…

We develop a general framework for the analysis of operator-valued multilinear multipliers acting on Banach-valued functions. Our main result is a Coifman-Meyer type theorem for operator-valued multilinear multipliers acting on suitable…

This article gives dual representations for convex integral functionals on the linear space of regular processes. This space turns out to be a Banach space containing many more familiar classes of stochastic processes and its dual can be…

This paper provides a self-contained exposition of coorbit spaces associated to integrable group representations and quasi-Banach function spaces, and at the same time extends and simplifies previous work. The main results provide an…

Gaussian processes appear as building blocks in various stochastic models and have been found instrumental to account for imprecisely known, latent functions. It is often the case that such functions may be directly or indirectly evaluated,…

We present a novel family of continuous, linear time-frequency transforms adaptable to a multitude of (nonlinear) frequency scales. Similar to classical time-frequency or time-scale representations, the representation coefficients are…

This paper studies approximation properties of linear sampling operators in general Banach lattices $X$. We obtain matching direct and inverse approximation estimates, convergence criteria, equivalence results involving special…

While the theory of matrix-weighted function spaces is well established, the majority of previous results in the infinite-dimensional operator-valued setting deal with "no go" theorems, showing the impossibility of some prospective…

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 analyses cointegration in vector autoregressive processes (VARs) for the cases when both the number of coordinates, $N$, and the number of time periods, $T$, are large and of the same order. We propose a way to examine a VAR of…

This paper ist concerned with recent progress in the context of coorbit space theory. Based on a square integrable group representation, the coorbit theory provides new families of associated smoothness spaces, where the smoothness of a…