On the asymptotic behaviour of random matrices in a multivariate statistical model
AbstractThis paper aims to provide a nonparametric analysis of the integrated processes of an integer order, via a theoretical solution of a generalized eigenvalue problem. To this end, we introduce a mean operator for the process, by using weights belonging to a Sobolev Space.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 78 (2008)
Issue (Month): 14 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Bierens, H.J., 1995.
"Nonparametric cointegration analysis,"
1995-123, Tilburg University, Center for Economic Research.
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