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.File | Dimensione | Formato | |
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