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

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. Copyright Springer-Verlag Berlin Heidelberg 2002

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Year of publication:	2002
Authors:	Wang, Lihong
Published in:	Computational Statistics. - Springer. - Vol. 55.2002, 1, p. 37-54
Publisher:	Springer
Subject:	Asymptotic distribution \| Convergence rate \| Long-range dependence \| Statistical estimates \| Stochastic programming problem \| AMS 1991 subject classifications: 90C15

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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