Recursive estimators with Markovian jumps

2012 ◽  
Vol 61 (10) ◽  
pp. 1009-1016 ◽  
Author(s):  
Lirong Huang ◽  
Håkan Hjalmarsson
Keyword(s):  
Recursive Estimators

scholarly journals Filtering and predicting the cost of hidden perished items in an inventory model

2002 ◽  
Vol 15 (3) ◽  
pp. 235-245
Author(s):  
Lakhdar Aggoun ◽  
Lakdere Benkherouf
Keyword(s):  
Joint Distribution ◽  
Inventory Model ◽  
The State ◽  
Inventory Level ◽  
Discrete State ◽  
History Of ◽  
Accumulated Losses ◽  
The Cost ◽  
State Of The Environment ◽  
Recursive Estimators

This paper is concerned with a discrete time, discrete state inventory model for items of changing quality. Items are assumed to be in one of a finite number, M, of quality classes that are ordered in such a way that Class 1 contains the best quality and the last class contains the pre-perishable quality. The changes of items' quality are dependent on the state of the ambient environment. Furthermore, at each epoch time, items of different classes may be sold or moved to a lower quality class or stay in the same class. These items are priced according to their quality, and costs are incurred as items lose quality. Based on observing the history of the inventory level and prices, we propose recursive estimators as well as predictors for the joint distribution of the accumulated losses and the state of the environment.

Rate of Convergence of Recursive Estimators

1992 ◽  
Vol 30 (5) ◽  
pp. 1200-1227 ◽  
Author(s):  
László Gerencsér
Keyword(s):  
Rate Of Convergence ◽  
Recursive Estimators

The Role of Linear Recursive Estimators in Time Series Forecasting

1985 ◽  
Vol 31 (2) ◽  
pp. 188-199 ◽  
Author(s):  
D. J. Pack ◽  
D. H. Pike ◽  
D. J. Downing
Keyword(s):  
Time Series ◽  
Time Series Forecasting ◽  
Recursive Estimators

Recursive parameter estimation in the trend coefficient of a diffusion process

2010 ◽  
Vol 17 (4) ◽  
pp. 683-704
Author(s):  
Nanuli Lazrieva ◽  
Teimuraz Toronjadze
Keyword(s):  
Parameter Estimation ◽  
Diffusion Process ◽  
Asymptotic Properties ◽  
Recursive Estimation ◽  
Dimensional Parameter ◽  
One Dimensional ◽  
Recursive Parameter Estimation ◽  
Special Cases ◽  
Trend Coefficient ◽  
Recursive Estimators

Abstract The recursive estimation problem of a one-dimensional parameter in the trend coefficient of a diffusion process is considered. The asymptotic properties of recursive estimators are derived, based on the results on the asymptotic behaviour of a Robbins–Monro type SDE. Various special cases are considered.

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