Abstract
In this article, we derive the weak limiting distribution of the least squares estimator (LSE) of a convex probability mass function (p.m.f.) with a finite support. We show that it can be defined via a certain convex projection of a Gaussian vector. Furthermore, samples of any given size from this limit distribution can be generated using an efficient Dykstra-like algorithm.
Citation
Fadoua Balabdaoui. Cécile Durot. François Koladjo. "On asymptotics of the discrete convex LSE of a p.m.f.." Bernoulli 23 (3) 1449 - 1480, August 2017. https://doi.org/10.3150/15-BEJ754
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