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On the asymptotic behaviour of random matrices in a multivariate statistical model

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  • Cerqueti, Roy
  • Costantini, Mauro

Abstract

This 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.

Suggested Citation

  • Cerqueti, Roy & Costantini, Mauro, 2008. "On the asymptotic behaviour of random matrices in a multivariate statistical model," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2039-2045, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:14:p:2039-2045
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    References listed on IDEAS

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    1. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
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