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

Lihong Wang

Mathematical Methods of Operations Research, 2002, vol. 55, issue 1, 37-54

Abstract: 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

Keywords: Key words: Asymptotic distribution; Convergence rate; Long-range dependence; Statistical estimates; Stochastic programming problem, AMS 1991 subject classifications: 90C15, 62F12, (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:55:y:2002:i:1:p:37-54

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DOI: 10.1007/s001860200171

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