A persistence‐based Wold‐type decomposition for stationary time series
平稳时间序列基于持续性的 Wold 型分解
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of process innovations. Thanks to the uncorrelatedness of components, our representation of a time series naturally induces a persistence‐based variance decomposition of any weakly…