A Useful Multivariate Stochastic Integration Result

Phoebus J. Dhrymes
This paper derives the limiting distribution of the matrix (1/T) ΣTj=1 Z't-1. ŋt. Where Zt = Σtj=1 ŋj and ŋj is a suitably restricted mixing process. It does so by the same method as in the scalar case with the aid of Ito's multivariate formula.
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.