Limit distributions for linear programming time series estimators

Limit distributions for linear programming time series estimators

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Article ID: iaor19951166
Country: Netherlands
Volume: 51
Issue: 1
Start Page Number: 135
End Page Number: 165
Publication Date: Jun 1994
Journal: Stochastic Processes and Their Applications
Authors: ,
Keywords: programming: linear
Abstract:

The authors consider stationary autoregressive processes of order p which have positive innovations. They propose consistent parameter estimators based on linear programming. Under conditions, including regular variation of either the left or right tail of the innovations distribution, the authors prove that the estimators have a limit distribution. The rate of convergence of the present estimator is favorable compared with the Yule-Walker estimator under comparable circumstances.

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