On limit theorems for functional autoregressive processes with random coefficients

2022/12/03 by Sadillo Sharipov, Sharipov, Sadillo
Economics, Econometrics and Finance · Engineering · #60F99 #60F99 46B04 #FOS: Mathematics #G.3 #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2212.01690

openalex publication_date 2022/12/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we consider a Banach space valued random coefficient autoregressive process. Our studies on this process involve existence, weak law of large numbers, strong law of large numbers, some exponential inequalities, central limit theorem. Our approach is based on a suitable martingale coboundary decomposition in Banach space.

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