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20172026
most citedRepresentation of I(1) and I(2) autoregressive Hilbertian processes

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math.FA2017

Cointegration and Representation of Cointegrated Autoregressive Processes in Banach Spaces

Won-Ki Seo

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…