Limit distributions for linear programming time series estimators
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.
scientific article; zbMATH DE number 636191
scientific article