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

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  • Lihong Wang

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

Suggested Citation

  • Lihong Wang, 2002. "Asymptotics of statistical estimates in stochastic programming problems with long-range dependent samples," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(1), pages 37-54, March.
    • Handle: RePEc:spr:mathme:v:55:y:2002:i:1:p:37-54
    DOI: 10.1007/s001860200171
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    Cited by:

    1. Nourdin, Ivan & Peccati, Giovanni & Podolskij, Mark, 2011. "Quantitative Breuer-Major theorems," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 793-812, April.

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