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In all what follows, let $\mathcal{P}(\mathbb{R}^n)$ denote the set of probability measures on $(\mathbb{R}^n, \mathcal{B}(\mathbb{R}^n))$ and $\mathcal{C}_n$ the set of $n \times n$ correlation ...

Some time ago I stumbled upon the notion of cointegration of time series (see the wiki for some basic fact). Unfortunately, my knowledge of time series is a bit sketchy, and moreover I was able to ...