S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes

Jules Sadefo-Kamdem, Babel Raïssa Guemdjo Kamdem and Carlos Ougouyandjou
Additional contact information
Jules Sadefo-Kamdem: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Babel Raïssa Guemdjo Kamdem: IMSP - Institut de Mathématiques et de Sciences Physiques - UAC - Université d’Abomey-Calavi = University of Abomey Calavi
Carlos Ougouyandjou: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

Post-Print from HAL

Abstract: The main purpose of this work is to contribute to the study of set-valued random variables by providing a kind of Wold decomposition theorem for interval-valued processes. As the set of set-valued random variables is not a vector space, the Wold decomposition theorem as established in 1938 by Herman Wold is not applicable for them. So, a notion of pseudovector space is introduced and used to establish a generalization of the Wold decomposition theorem that works for interval-valued covariance stationary time series processes. Before this, set-valued autoregressive moving-average (S-ARMA) time series process is defined by taking into account an arithmetical difference between random sets and random real variables.

Keywords: Wold décomposition; stationary time series; interval-valued time series processes; ARMA model (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: View the original document on HAL open archive server: https://hal.umontpellier.fr/hal-02901595v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in New Mathematics and Natural Computation, 2021, 17 (1), pp.191-213. ⟨10.1142/S1793005721500101⟩

Downloads: (external link)
https://hal.umontpellier.fr/hal-02901595v1/document (application/pdf)

Related works:
Journal Article: S-ARMA Model and Wold Decomposition for Covariance Stationary Interval-Valued Time Series Processes (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02901595

DOI: 10.1142/S1793005721500101

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().