Limit distributions for linear programming time series estimators
type: Item
instance of: scholarly article
title: Limit distributions for linear programming time series estimators
zbMATH Open document ID: 0819.62070
DOI: 10.1016/0304-4149(94)90022-1
author: Paul D. Feigin
author: Sidney I. Resnick
published in: Stochastic Processes and their Applications
publication date: 1994-10-10T00:00:00Z
full work available at URL: https://hdl.handle.net/1813/8918
review text: 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.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 636191
zbMATH Keywords: Poisson processes
zbMATH Keywords: time series
zbMATH Keywords: stationary autoregressive processes
zbMATH Keywords: positive innovations
zbMATH Keywords: consistent parameter estimators
zbMATH Keywords: linear programming
zbMATH Keywords: regular variation
zbMATH Keywords: tail
zbMATH Keywords: limit distribution
zbMATH Keywords: rate of convergence
zbMATH Keywords: Yule-Walker estimator
MaRDI profile type: Publication
OpenAlex ID: W2165884617
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description: scientific article; zbMATH DE number 636191