Fredholm inversion around a singularity: Application to autoregressive time series in Banach space

Abstract

This paper considers inverting a holomorphic Fredholm operator pencil. Specifically, we provide necessary and sufficient conditions for the inverse of a holomorphic Fredholm operator pencil to have a simple pole and a second order pole. Based on these results, a closed-form expression of the Laurent expansion of the inverse around an isolated singularity is obtained in each case. As an application, we also obtain a suitable extension of the Granger-Johansen representation theorem for random sequences taking values in a separable Banach space. Due to our closed-form expression of the inverse, we may fully characterize solutions to a given autoregressive law of motion except a term that depends on initial values.

Keywords

• operator pencils
• analytic fredholm theorem
• linear time-invariant dynamical systems
• granger-johansen representation theorem