Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to ARCH$(\infty)$ processes

Details Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to ARCH$(\infty)$ processes Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to ARCH$(\infty)$ processes

2012-02-24

arxiv.org/abs/1202.5573v1

Mathematics

Classical Analysis and ODEs

Scientific paper

We define a class of functions which have a known decay rate coupled with a periodic fluctuation. We identify conditions on the kernel of a linear summation convolution Volterra equation which give the equivalence of the kernel lying in this class of functions and the solution lying in this class of functions. Some specific examples are examined. In particular this theory is used to provide a counter--example to a result regarding the rate of decay of the auto--covariance function of an ARCH($\infty$) process.

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