Cointegrated linear processes in Bayes Hilbert space

Won-Ki Seo () and Brendan Beare

Statistics & Probability Letters, 2019, vol. 147, issue C, 90-95

Abstract: A cointegrated linear process in Bayes Hilbert space is isomorphic to a cointegrated linear process in a Hilbert space of centered square-integrable real functions. We illustrate the use of this isomorphism for modeling nonstationary time series of probability densities.

Keywords: Cointegration; Functional data; Bayes Hilbert space (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2018.11.032

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