This article provides a solution of a generalized eigenvalue problem for integrated processes of order 2 in a nonparametric framework. Our analysis focuses on a pair of random matrices related to such integrated process. The matrices are constructed considering some weight functions. Under asymptotic conditions on such weights, convergence results in distribution are obtained and the generalized eigenvalue problem is solved. Differential equations and stochastic calculus theory are used.

Some Nonparametric Asymptotic Results for a Class of Stochastic Processes / Cerqueti, Roy; Costantini, M.. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - 39:(2010), pp. 1-9. [10.1080/03610920903061021]

Some Nonparametric Asymptotic Results for a Class of Stochastic Processes

CERQUETI, ROY;COSTANTINI M.
2010

Abstract

This article provides a solution of a generalized eigenvalue problem for integrated processes of order 2 in a nonparametric framework. Our analysis focuses on a pair of random matrices related to such integrated process. The matrices are constructed considering some weight functions. Under asymptotic conditions on such weights, convergence results in distribution are obtained and the generalized eigenvalue problem is solved. Differential equations and stochastic calculus theory are used.
2010
Asymptotic theory; Generalized eigenvalue problem; Nonparametric analysis.
01 Pubblicazione su rivista::01a Articolo in rivista
Some Nonparametric Asymptotic Results for a Class of Stochastic Processes / Cerqueti, Roy; Costantini, M.. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - 39:(2010), pp. 1-9. [10.1080/03610920903061021]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1364514
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