Linear Programming Estimators and Bootstrapping for Heavy Tailed Phenomena
Linear Programming Estimators and Bootstrapping for Heavy Tailed Phenomena
For autoregressive time series with positive innovations which either have heavy right or left tails, linear programming parameter estimates of the autoregressive coefficients have good rates of convergence. However, the asymptotic distribution of the estimators depends heavily on the distribution of the process and thus cannot be used for inference. …