Article

On Limit Theorems for Functional Autoregressive Processes with Random Coefficients

Sadillo SharipovRomanovskii Institute of Mathematics, Uzbekistan Academy of Sciences, 100174, Tashkent, Uzbekistan

Lobachevskii Journal of Mathematicsjournal2023en

ABI

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, complete convergence and central limit theorem. We follow the approach which is based on a suitable martingale coboundary decomposition in Banach space.

Topics

Probability and Risk Models Stochastic processes and financial applications Financial Risk and Volatility Modeling

Identifiers

DOI: 10.1134/s1995080223110288

Citations and references

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