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

COSTANTINI M
2010-01-01

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/135925
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