Displaying similar documents to “The Kiefer-Wolfowitz approximation method in controlled Markov chains”

Recursive estimates of quantile based on 0-1 observations

Pavel Charamza (1992)

Applications of Mathematics

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The objective of this paper is to introduce some recursive methods that can be used for estimating an L D - 50 value. These methods can be used more generally for the estimation of the γ -quantile of an unknown distribution provided we have 0-1 observations at our disposal. Standard methods based on the Robbins-Monro procedure are introduced together with different approaches of Wu or Mukerjee. Several examples are also mentioned in order to demonstrate the usefulness of the methods presented. ...