Article ID: | iaor20031200 |
Country: | Germany |
Volume: | 55 |
Issue: | 1 |
Start Page Number: | 37 |
End Page Number: | 54 |
Publication Date: | Jan 2002 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Wang L. |
Keywords: | statistics: inference |
In this paper we investigate the asymptotics of the statistical estimates of the optimal value and the optimal solution in stochastic programming problems, which has long range dependent samples. The asymptotic distribution and the convergence rate of these estimates are studied.