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Strong Orthogonal Decompositions and Non‐linear Impulse Response Functions for Infinite‐variance Processes by Jonathan B. Hill is a Mathematics article available to read on EtoBox.
What is Strong Orthogonal Decompositions and Non‐linear Impulse Response Functions for Infinite‐variance Processes about?
## Abstract The author proves that Wold‐type decompositions with strong orthogonal prediction innovations exist in smooth, reflexive Banach spaces of discrete time processes if and only if the projection operator generating the innovations satisfies the property of iterations. His theory includes as special cases all previous Wold‐type decompositions of discrete time processes, completely characterizes when non‐linear heavy‐tailed processes obtain a strong‐orthogonal moving average representation, and easily promotes a theory of non‐linear impulse response functions for infinite‐variance processes. The author exemplifies his theory by developing a non‐linear impulse response function for smooth transition threshold processes, and discusses how to test decomposition innovations for strong orthogonality and whether the proposed model represents the best predictor. A data set on currency exchange rates allows him to illustrate his methodology.
Who reads Strong Orthogonal Decompositions and Non‐linear Impulse Response Functions for Infinite‐variance Processes?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Jonathan B. Hill
- Publisher
- John Wiley and Sons; Wiley (John Wiley & Sons); Wiley-Blackwell; Wiley; JSTOR (ISSN 0319-5724)
- Published
- 2006
- Language
- EN
- Field
- Mathematics (Physical Sciences)