Limit distributions for linear programming time series estimators (Q1332320)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Limit distributions for linear programming time series estimators |
scientific article; zbMATH DE number 636191
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit distributions for linear programming time series estimators |
scientific article; zbMATH DE number 636191 |
Statements
Limit distributions for linear programming time series estimators (English)
0 references
10 October 1994
0 references
The authors consider stationary autoregressive processes of order \(p\) which have positive innovations. They propose consistent parameter estimators based on linear programming. Under some conditions, including regular variation of either the left or right tail of the innovations distribution, they prove that the estimators have a limit distribution. The rate of convergence of their estimator is favorable compared with the Yule-Walker estimator under comparable circumstances.
0 references
Poisson processes
0 references
time series
0 references
stationary autoregressive processes
0 references
positive innovations
0 references
consistent parameter estimators
0 references
linear programming
0 references
regular variation
0 references
tail
0 references
limit distribution
0 references
rate of convergence
0 references
Yule-Walker estimator
0 references
0 references
