On estimating the rate of return (Q1814446): Difference between revisions

The paper considers the problem of finding the distribution of the rate of return on an investment when the cash flow is described by a Gaussian process. The question is formulated in terms of the first zero of what is called the rate of return process. An explicit solution is generally not available and methods previously used by the authors in another context are applied to obtain an approximation. The arguments apply to locally stationary Gaussian processes as introduced by \textit{S. M. Berman} [Ann. Probab. 2, 999-1026 (1974; Zbl 0298.60026)].