Through an interdisciplinary collaboration with the Department of Statistics at the University of California at Davis, we are developing a novel statistical inferential framework for multi-resolution ...

The Granger representation theorem states that a cointegrated vector autoregressive process can be decomposed into four components: a random walk, a stationary process, a deterministic part, and a ...

Søren Johansen, A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes, Econometric Theory, Vol. 24, No. 3 (Jun., 2008), pp. 651-676 ...