2024/12/11【國際傑出學者講座-Peter W. Glynn】
時間：民國113年12月11日(三) 16:00~17:00
地點：政大商學院 6F 寶來國際廳
(免費活動，歡迎參加)
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講座摘要：
In this talk, we will discuss nonparametric estimation for Markov chains that satisfy stochastic recursions of a known form, but in which the driving noise has an unknown distribution. We assume that we observe samples of the driving noise. We will argue that such Markov chains/data sets arise naturally within the setting of operations research and management science. We will describe general statistical theory for such Markov chains, including consistency of “plug-in” estimators, the influence function, central limit theorems, and related computational issues. Such theory allows us to assess how “input uncertainty” propagates through to “output uncertainty” within the class of stochastic models most relevant to our field.