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Computing Exact Score Vectors for Linear Gaussian State Space Models

Nagakura, Daisuke - 2019

A recursive formula for computing the exact value of score vectors is proposed, which is more desirable than approximate values in some statistical analyses, for a general form of the linear Gaussian state space model. Unlike most extant methods, our formula calculates all components of the...

Persistent link: https://www.econbiz.de/10012906057

On stationary recursive equilibria and nondegenerate state spaces : the Huggett model

Kam, Timothy; Lee, Junsang - In: Journal of mathematical economics 50 (2014), pp. 156-159

Persistent link: https://www.econbiz.de/10010476821

Induced idleness leads to deterministic heavy traffic limits for queue-based random-access algorithms

Castiel, Eyal; Borst, Sem; Miclo, Laurent; Simatos, Florian - 2020

Persistent link: https://www.econbiz.de/10012264699

Aggregate production planning problem for a hybrid stochastic system under partially observed state variables

Salviano, Oscar; Andres, Frederic - In: International journal of business performance and … 14 (2023) 4, pp. 421-449

Persistent link: https://www.econbiz.de/10015062904

Stability and sample-based approximations of composite stochastic optimization problems

Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888

Persistent link: https://www.econbiz.de/10014393285

Optimal adaptive sequential calibration of option models

Lindström, Erik; Åkerlindh, Carl - In: Handbook of recent advances in commodity and financial …, (pp. 165-181). 2018

Persistent link: https://www.econbiz.de/10011898632

Application of Kalman-Filter technique for optimal use of time-series information in dynamic optimization problems

Vishwakarma, Keshav P. - 1970 - Vervielf.

Persistent link: https://www.econbiz.de/10001572994

Time series modeling and forecasting by mathematical programming

Bichescu, Bogdan; Polak, George G. - In: Computers & operations research : and their … 151 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014234810

Some notes on discount factor restrictions for dynamic optimization problems

Sorger, Gerhard (contributor) - 2008

Persistent link: https://www.econbiz.de/10003812527

Some notes on discount factor restrictions for dynamic optimization problems

Sorger, Gerhard - In: Journal of mathematical economics 45 (2009) 7/8, pp. 435-448

Persistent link: https://www.econbiz.de/10003879894

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