主催: 日本学術会議 機械工学委員会・土木工学・建築学委員会 合同IUTAM分科会
共催: 応用物理学会, 化学工学会, 地盤工学会, 土木学会, 日本応用数理学会, 日本風工学会, 日本機械学会, 日本気象学会, 日本計算工学会, 日本建築学会, 日本原子力学会, 日本航空宇宙学会, 日本材料学会, 日本地震工学会, 日本数学会, 日本船舶海洋工学会, 日本伝熱学会, 日本物理学会, 日本流体力学会, 日本レオロジー学会, 農業農村工学会
In the present paper, we will establish a law of large numbers for the sample covariance matrix of the forward rates when random walk hypothesis (RWH) on the spot rates holds. The study is motivated by the result in Liu, N.L.(2010) that says the forward rates have much more factors than the stylized belief, and aimed to explain the result as a ``type I error" on RWH. Our result in this paper shows that the number of factors of the forward rates is greater than that of the spot rates but at most twice.