Asymptotics of statistical estimates in stochastic programming problems with long-range dependent samples

Asymptotics of statistical estimates in stochastic programming problems with long-range dependent samples

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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:
Keywords: statistics: inference
Abstract:

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.

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