Some Nonparametric Asymptotic Results for a Class of Stochastic Processes |
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| Authors: | Roy Cerqueti Mauro Costantini |
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| Affiliation: | 1. Department of Economics and Financial Institutions , University of Macerata , Macerata, Italy roy.cerqueti@unimc.it;3. Department of Economics , University of Vienna , Vienna, Austria |
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| 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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| Keywords: | Asymptotic theory Generalized eigenvalue problem Nonparametric analysis |
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