This paper provides a solution of a generalized eigenvalue problem for a fractional integrated processes. To this end two random matrices are constructed in order to take into account the stationarity properties of the differences of a fractional p-variate integrated process. The matrices are defined by some weight functions and the difference orders are assumed to vary in a continuous and discrete range. The asymptotic behavior of these matrices is obtained imposing some conditions on the weight functions. Using Bierens (1987) and Andersen et al. (1983) results, a generalized eigenvalues problem is solved.

Asymptotic solutions of a generalized eigenvalue problem / Cerqueti, R.; M, Costantini. - In: APPLIED MATHEMATICAL SCIENCES. - ISSN 1312-885X. - 3(60):(2009), pp. 2985-2999.

Asymptotic solutions of a generalized eigenvalue problem

R. CERQUETI;COSTANTINI M
2009

Abstract

This paper provides a solution of a generalized eigenvalue problem for a fractional integrated processes. To this end two random matrices are constructed in order to take into account the stationarity properties of the differences of a fractional p-variate integrated process. The matrices are defined by some weight functions and the difference orders are assumed to vary in a continuous and discrete range. The asymptotic behavior of these matrices is obtained imposing some conditions on the weight functions. Using Bierens (1987) and Andersen et al. (1983) results, a generalized eigenvalues problem is solved.
2009
Weight functions; Asymptotic convergence; Generalized eigenvalues problem; integrated process
01 Pubblicazione su rivista::01a Articolo in rivista
Asymptotic solutions of a generalized eigenvalue problem / Cerqueti, R.; M, Costantini. - In: APPLIED MATHEMATICAL SCIENCES. - ISSN 1312-885X. - 3(60):(2009), pp. 2985-2999.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1364548
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