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Sequential Estimation of Expectations in the Presence of Trend2 |
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| Authors: | Radu Theodorescu Hans Wolff |
| Abstract: | A sequence of independent random variables {Zn:n≥ 1} with unknown probability distributions is considered and the problem of estimating their expectations {Mn+1: n≥ 1} is examined. The estimation of Mn+1 is based on a finite set {zk:1≤k≤n}, each zk being an observed value of Zk, 1 ≤k≤n, and also based on the assumption that {Mn:n≥ 1} follows an unknown trend of a specified form. |
| Keywords: | Sequential estimation Stochastic approximation Expectation Trend Forecasting |