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- W2606243721 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 ordersare 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." @default.
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- W2606243721 date "2009-01-01" @default.
- W2606243721 modified "2023-09-28" @default.
- W2606243721 title "Asymptotic Solutions of a Generalized Eigenvalue Problem" @default.
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