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Cointegrated linear processes in Bayes Hilbert space. (English) Zbl 1450.62115

Summary: 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60B11 Probability theory on linear topological spaces
62R10 Functional data analysis
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