LIMIT DISTRIBUTIONS FOR LINEAR-PROGRAMMING TIME-SERIES ESTIMATORS

[摘要] We consider stationary autoregressive processes of order p which have positive innovations. We propose consistent parameter estimators based on linear programming. Under conditions, including regular variation of either the left or right tail of the innovations distribution, we prove that the estimators have a limit distribution. The rate of convergence of our estimator is favorable compared with the Yule-Walker estimator under comparable circumstances.

[发布日期] 1994-06-01

[关键词] POISSON PROCESSES;LINEAR PROGRAMMING;AUTOREGRESSIVE PROCESSES;PARAMETER ESTIMATION;WEAK CONVERGENCE;CONSISTENCY;TIME SERIES ANALYSIS